Final Frontier Setup
Creating a Shortcut
I am not by any means an expert on this mod, but I was able to win quite easily on Noble Difficulty, so I will just do a quick write-up on the first steps I take to get things going in hope that this is what people are asking for. I will expand on this text to include everything from start to finish, so check back soon!
The first thing I did was create a shortcut on my desktop that loads the mod up right away. In WinXP just right click on the desktop and select "New" then click on "shortcut" then type "C:\Program Files\Firaxis Games\Sid Meier's Civilization 4\Beyond the Sword\Civ4BeyondSword.exe" mod="Final Frontier" in the edit field to create the shortcut. You'll have to edit the path of the game if you did not install it in the default folder. If you do it this way, you will not have to load the original game, unload it, then load the mod, which is just a waste of time if all you want to do is play "Final Frontier".
Advanced Options
You can click on advanced and then options to set some minor configurations, one in particular might be of use is the "Enable Final Frontier Tutorial" option, because it will provide helpful text popups every once in a while during the game if turned on. Two other options that I turn off are "show friendly moves" and "show enemy moves", because they are a pain. Be warned that your camera will zip around the screen constantly if you leave those on. Check or uncheck the options you want, then go back to the first screen.
Game Setup
Click on "Single Player" then "Custom Game". I chose Tiny Map, Normal speed, and Warlord Difficulty just to get things going quickly. I then chose Hector Alvarez as my leader head, because his starting system is "New Earth" and this civilization starts with the ability to build Scout Ships. Each of the civilizations do have their own benefits, such as starting technologies and certain production advantages over the other, so take your pick. I left everything else on default and clicked "Launch". This gives us two other civilizations to compete against, which I think will be enough to get our feet wet.