In summary, Wheels of Prophecy doesn't change the events of Throne of Bhaal (not much, anyway), but it does let the player interact with them in a much more flexible way.
In more detail: the main change made is that the player can attempt to enter Balthazar's monastery whenever s/he likes, instead of waiting until after Sendai and Abazigal are dead. It's entirely up to you what order you do it in. If you decide to wait until Abazigal and Sendai are dead before confronting Balthazar, you won't notice much change from the vanilla game; if you decide to encounter Balthazar earlier, things may play out rather differently from what you remember. (Getting into the monastery early in the game isn't completely trivial, but it can be done (ask the smugglers, or listen for rumours in the tavern).
The mod also features:
- Greatly expanded dialogue with Balthazar, Melissan, Sendai, Abazigal, and Elminster.
- Modifications to dialogue with Carras, Saemon, Faheed, Zahee, and the Solar.
- Minor unfinished-business content with the smugglers that didn't quite make it into Throne of Bhaal.
- Extra encounters part-way through dealing with the Five (depending which route you take) and just before confronting Melissan.
- An expanded conversation with the stone heads featuring voicing cut from the released version of Throne of Bhaal, but unearthed recently by K'aeloree of Spellhold Studios.
- And more!