I will explain how to edit the relevent files so that you can play the ATW campaign after alexander is dead.

Firstly

Go to C:\Program Files\Activision\Rome - Total War\alexander\data\world\maps\campaign\Alexander\d escr_win_conditions.txt

Secondly

Find

macedon
alexander Macedon Lydia Cappadocia Syria Lybia Egypt Babylonia Media Dahae Bactria
survivor Alexander
take_regions 30
script world/maps/campaign/alexander/Alexander_Campaign_Outro_Script.txt

Thirdly

Delete the highlighted

macedon
alexander Macedon Lydia Cappadocia Syria Lybia Egypt Babylonia Media Dahae Bactria
survivor Alexander
take_regions 30
script world/maps/campaign/alexander/Alexander_Campaign_Outro_Script.txt

Now play the game!

But if you dont have an heir and alexander dies then the game will end. To stop this from happing adopt an heir when possible, this normally happens on the second turn.