EB12 is just a patch. You have to install it into the same directory as EB11.

For installation instruction look up https://forums.totalwar.org/vb/showthread.php?t=80270

Since you are using Vista I recommend the following procedure:
1. Install Rome: Total War into a directory called 'Rome - Total War' (or anything you like). The installation path should read 'c:\Rome - Total War'.
If you have the gold (or eras) version it is already patched to V1.5. If you have the original version you have to patch it with the official patch
2. Start Rome and make the configuration settings (graphics, audio etc), then quit the game.
3. Copy the whole directory 'Rome - Total War' including sub-directories to a newly created directory 'EB'. The full path should read 'C:\EB'. You will use this copy to install EB into. This way if anyting goes wrong installing EB you spare yourself the re-installation of vanilla Rome
2. Install EB11 into the directory 'c:\EB'
3. Install the EB12 patch to 'c:\EB'
4. install the hotfixes (https://forums.totalwar.org/vb/showthread.php?t=109936