I will try to help on behalf of Jubal.
After downloading did you run the installer and point it to your base Rome - Total War folder?
This is located at either
C:\Program Files\The Creative Assembly\Rome - Total War
or
C:\Program Files\Activision\Rome - Total War
Once you've run the installer, or already have, I want you to navigate to your Rome - Total War folder and make sure there is a folder named WHTW in it. If it's not then you pointed the installer in the wrong direction, so try running it again making sure to direct it to your Rome - Total War folder.
Once you get the WHTW folder inside the Rome - Total War folder, or it is already there, go back to your desktop and right click on the shortcut that the installer creates and click on properties. Click on the shortcut tab and look at the target line. Make sure the target is also pointed to your Rome - Total War folder and has at least this after the quotes: -mod:WHTW
I hope this helps, and welcome to Exilian! :flashy: