What is the difference between the four versions of Civ 4 that Steam installs?

As Jason mentions, four of the entries can be safely ignored, depending on your OS. Whichever ones won't install are the ones that won't run on your system.

The four remaining ones are:

• Civilization 4, or "Vanilla" Civ4
• Civilization 4: Warlords, which is the first expansion
• Civilization 4: Beyond the Sword, which is the second expansion
• Civilization 4: Colonization, which is a remake of the original Colonization for the Civ4 engine

Unless you hate the things Warlords and Beyond the Sword add, there's really no reason to play the "base game" Civ4.

Beyond the Sword incorporates almost everything in Warlords, minus a few scenarios. If you want the "full" Civ4 experience, you might as well play that one. I didn't like Beyond the Sword that much though, (I think it was the tweaks to the tech tree, or maybe Espionage?) so I tend to prefer playing Warlords.

Colonization is a totally separate game, so it has very little to do with Civ4 and its expansions.

There is no "DLC" in the Civ5 sense - during the Civ4 era, the game got expansions but no standalone DLC.

There are two odd issues with Civilization IV that are at play here.

The first is that there is a separate entry in Steam for the Mac and Windows versions. I'm not sure why this is, as other games successfully use a single entry and install the correct version based on the current OS.

The second is that the Civ IV DLC are all stand alone games in Steam - you can install and play them independently of each other. That is why there are four separate entries for Civ IV.

Take the two issues together, and you have 8 entries in your library for Civilization IV.