To elaborate on Nathan's explanation:
If you installed Civ 3 and PTW in the default manner, you should have a series of folders akin to: C:/Program Files/Infogrames Interactive/Civilization III/Civ3PTW/Scenarios. Place the AU Mod bix file in that scenario folder (be careful not to put it in the Civilization III/Scenarios folder).
When you launch PTW, choose "Load Scenario" instead of "New Game," "Quick Start," "Load Game," etc.
From the list of available scenarios, select the AU Mod Scenario and proceed as you would with any other game, selecting world features, civs, difficulty levels, etc.
Have fun!
Catt