Map size seems to be a problem with most new 3D RTS games, take AoE3 for example, you can fully explore most maps map with a single unit in 60-90 seconds if there isn't a watery divide.
Again, dumbing the game down to appeal to ADHD generation is another problem in full swing with RTS games, and again a problem with AoE3, functionality that existed in previous versions has been taken out to make the game more 'accessible'.
Apothos, most games that save in "My Documents" do so by saving relative to the path of the folder, which it finds from the 'Personal' registry key so you can exploit this to make the game save elsewhere (not by chaning the value of the Personal Key of course, that'd move the location of my docs!)
The key can be found in:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders
Browse to that folder and create a new key and call it what you like, set the text string as the path where you'd like it to save.
Download a free hex editor and open up the game's .exe (back it up first). Search the exe for 'Personal' (50 65 72 73 6f 6e 61 6c) and replace it with the name of the key you created with the path you'd like it to save to. Save the altered exe and the game will save at the new location from now on.
If you can't find 'Personal' in the exe hex it means that this technique isn't used by the game so this won't work, I don't have Civ 4 so can't check.