You need to create a new shortcut.

Read this (its from the third paragraph down)
>> How to create a new shortcut to play the mod:
1. Make a copy of the Rome - Total War shortcut on your desktop or make a shortcut of RomeTW.exe or barbarian or alexander exe (Obviously this shortcut must refer to the executable in the same folder than the catw folder - just in case you have more than one RTW installation on your computer)
2. Right-click on this new shortcut, then click on "Properties".
3. At the end of the target line, add: " -nm -show_err -mod:catw" (the space is needed)
4. "OK"
5. Then you should be able to launch the mod with this shortcut. If you want you can use the CATW icon located in the catw folder.

Feel free to post here if you have any problem related to installation.