Here are the two shortcuts I use to record and playback. My Warlords folder is slightly different from the standard default folder. Recordings/playbacks are saved in the \dumplog folder with the filename replay.dat. Rename that file to prevent a particular recording from being overwritten by the next recording. You can delete the checksum file.

To record make the shortcut target line:
"C:\ProgramFiles\TotalWar\Warlord\ShogunW.exe" ER

To playback make the shortcut target line:
"C:\ProgramFiles\TotalWar\Warlord\ShogunW.exe" mEP