The wonders are not located in or near the city the building information scroll is placed, look for the little stone circles around the map and fight there.


Concerning your wrong build version, you probably misplaced the 1.2 installer, it has to point exactly to the same folder EB was installed to (the main RTW folder).
You should reinstall the whole thing after you completed your ongoing campaigns (1.2 is not savegame-compatible to 1.1).
Don't forget the fixes!!

XSamatan