The simple answer would be: go into Single player and from there to View replays and choose from the list of replays.

If the list is empty then you don't have any replays in the correct directory. You need to save your battles specifically if you want to keep the replays. If you're going to watch a replay from someone else then make sure it is in the right directory. The directory is under the Savegames directory and is probably either called Battles or Replays.

Note that if you have the VI expansion then you can't watch replays from the original MTW and vice versa.

My apologies if these advice sound a bit simple and obvious but the problem suggests a very basic error being made.