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I was given a steam gift of Civilization IV, and I am looking at the 2 expansions and I am slightly confused. Does the second expansion (Beyond the Sword) include the features from the first (Warlords) or are they separate games that I must choose between? The Wiki and official websites are not very helpful.

The second expansion, Beyond The Sword, contains every features of Warlords except it's scenarios, custom campains and what not. So if you don't care about that stuff just go with Sword.