I use RTW Gold through steam.
Use a program such as Winrar to unpack the file Warhammer1.rar. Extract the contents of Warhammer1.rar, to desktop preferably(you can move it about later).
There should now be a folder on your desktop(or where ever you chose to put it) called WHTW.
Single click on that folder, then right click on it. Click copy.
Then for XP find the path C:Program Files/Steam/steamapps/common/Rome Total War Gold.
For Vista or Windows 7 find the path C:/Program Files(x86 or x64)/Steam/steamapps/common/Rome Total War Gold.
Right click in an empty space there and click paste.
The WHTW folder should copy itself to that location, you'll be able to see it shortly.
After that is done, to play the mod from the Steam Library:
Right click on RTW in the steam library.
Click 'Properties'
Click 'Set Launch Options...'
type into the box '-show_err -mod:whtw'
Now just click play on RTW in steam (regular not Barbarian Invasion) and you're golden. (That means it'll work)
EDIT: If you want to play Rome: Total War again, delete the line '-show_err -mod:whtw', save and then Rome will run from Steam Library again.