The option to change your resolution is under OPTIONS > VIDEO > Video Options > Reolution. You adjust it by clicking on the < or > arrows. However, you can only adjust the resolution to your monitor's maximum supported resolution. If you don't know what that is, you should look up that information.
If that resolution isn't available in the game, there can be several reasons why. The most common would be that the game has just not registered your change in monitor. To reset your options (you may wish to write down your preferences before you do this, as they will be reset), go to "C:\Documents and Settings\***USER ID***\My Documents\My Games\(Galciv 2 or Appropriate Expansion folder)" and rename or delete the file called "prefs.ini". This will reset your options to default, and force the game to scan for your available resolutions again. When you restart the game, you can go in and set your resolution, and hopefully your new resolution will be there.
If it is not, it is likely you need to install your monitor's drivers, as sometimes (rarely) they are needed to tell your computer what resolutions the monitor can run at. Lastly, if the resolution is still not available, you can manually edit the prefs.ini file (look for the lines DisplayWidth=XXXX and DisplayHeight=XXXX and edit them to your desired resolution. If the game fails to start or work properly, then it is likely your monitor does not support that resolution.
P.S.
In your other post you seemed to indicated that you had a widescreen monitor, the most common widescreen resolution for 22" and under is 1680x1050, and for 24" and over 1920x1200).
