Find the Civ4 shortcut (for example, on your desktop). Right-Click on it, and choose "properties". On the form that appears, click on the 'shortcut' tab, and find the box that says 'Target'.
Click in the box, and add the following to the end of it:
/ALTROOT=pathtosaves
For example, to get it to put the saves in the C:\Games\Civ4_Saves directory, change it to:
/ALTROOT=C:\games\Civ4_saves
Note: If you want the saves stored in the base Civ4 directory, change it to:
/ALTROOT=.
If you want to set it to a path that contains spaces, you need to enclose the path using quotation marks:
/ALTROOT="C:\Data\Civ 4 Saves"