Hmm. It might be that you didn't patch your game up to the current version. Here's a link to get the patch:
http://www.totalwar.com/community/download.htm
Also, the mod requires you to have Viking Invasion. If you don't yet have it, I'd recommend getting it anyway, as it gives you a new era and map to play on, as well as new units for the original campaign.
If you have all that, and it STILL doesn't work, go here:
http://www.gameburnworld.com/dl/dl.p...FixedexeUK.rar This is a no-cd patch. The 4th mirror works. Just download it, and open the file (which is in .rar form, go here if you need winrar:
www.rarlab.com/ ), then put the executable into your medieval folder and let it overwrite the old .exe.
Hope this helps.
Also, as an aside, I'd recommend making a fresh install of M:TW for H:TW since it replaces a lot of original game files. Thus, you can't play the regular game with H:TW installed.