Ok, I'm feeling a bit dumb here.
I've been playing the "normal" version so far. However I'd like to know what's the deal with the expansions and why they have separate exes. I know they add more content, so I was wondering if I play Beyond the Sword, I'd be getting the full game plus the expansions' content?

I do know Colonization is a remake of the old game.

They decided way back then instead of making them a patch for the other to make it a new exe for each version. Each version builds upon the one before. That way they decided was the best way to keep mod compatibility.

Thanks!

What abbayarra said. AFAIK all of the content from the first expansion ("Warlords") is accessible through the second expansion ("Beyond the Sword"), except for the scenarios that shipped with Warlords. The short answer is to just always launch the game through Beyond the Sword unless you want want to use a mod or scenario that was specifically made for an earlier version of the game.