The problem is that Rome Total War, like many older programs, assumes that it is running with administrative privileges and blindly writes into the program files directory. Microsoft has been trying for years to get software developers to stop doing this and write settings and user files into the user directory. This is done for security and other operating systems use this model too.

The default user account you are set up with in Vista says "Administrator" but it really isn't. The programs you run aren't normally given administrative privileges unless you give permission via a UAC prompt. In order to avod breaking programs like RTW that insist on writing into Program Files Vista will shunt anything it tries to write there into a directory in the user folder.

This doesn't work perfectly though. If a program tries to writes a new file into Program Files then it should work transparently. But if the program tries to overwrite an existing file then nothing can be done about it. An example where this breaks RTW are the historical battles in the Alexander expansion pack. RTW tries to overwrite an existing file in order to unlock the next battle, but it doesn't work and you can't get past the first one.

There might be other bugs like that which I don't know about so the best thing to do is run Rome and other Total War games with administrative permissions. You can do this by right clicking on the program icon and you can set it up to always run like that in the compatibility tab in the properties menu. It will mean you have to click a UAC promplt to start the program. I recommend you do not turn UAC off because it's key to the entire security architecture. Personally, I like it. It's much easier than trying to run as a limited user under Windows XP was.

Anyways, we wouldn't have to worry about any of this if software developers would learn to program correctly. If you need someplace to direct your ire. There you go.