I have a fresh install of Civ4, Warlords, and BtS, patched to 3.19. I downloaded BUG to give it a shot, and BlueMarble. I tried to install BUG, following the documentation, into C:\Users\burbel\Documents\My Games\Beyond the Sword. There was no ability to press "Next" to continue the install. I then tried navigating to the folder itself, and still could not proceed.
I received the same behavior when attempting to install to the Civ4 game directories themselves; no location would allow me to click "Next". Per the documentation, since I am running on Windows Vista, I also attempted to execute the installer .exe file as Adminstrator - no change.
Try using the ZIP distribution. You should be able to unzip it directly into your My Games / Beyond the Sword folder. This will be just like the Single-Player installation without the extra options (Start menu, desktop shortcut, or AutoStart). Let me know if this doesn't work.