It simply goes back to the menu? When you exit the game after that happens, 9 out of 10 times you'll get a message that tells you what's wrong - if you have -show_err toggled.
If you haven't, select properties for the shortcut on your desktop.
Copy+paste this line into the target:

"C:\Program Files\Activision\Rome - Total War\RomeTW.exe" -show_err

Hope this helps