are you using vista?
I'm using vista and I got it to work. One problem I had, but was able to fix, was I would try to redirect the shortcut but it kept telling me that the specified path was unavailable. Then I tried to just open the shortcut as it was. Then I noticed my Rome - TW directory was under Program Files\Creative Assembly. So I completely uninstalled Rome:Total War and all expansion packs, then reinstalled it under Program Files\Activision. Then updated it to v1.5 (Which is necessary. To get it go to totalwar.com then support then support-rome) Now copy and paste the WHTW folder into the Rome: Total War folder. Finally open the WHTW folder and just open the shortcut. Hope that helps some people.