I know it's a pain in the backside, but re-installing the game could sort it out. The movie file might have corrupted in the transfer from CD to hard disk.

Try running one of the game movies outside of Shogun and seeing what happens (go into the STW directory, then 'movies', then open one of them). See if the movie runs fine (I know it won't be the Throne room movie, but it's worth having a look anyway).

If worst comes to worst, in the game menu, turn off the Throne Room.