This may be a bit late, as you havnt posted in 3 months, but heres the answer to this one. You install the game into the steam/steamapps/common/alexanderTW folder, and then you should get a shortcut on your desktop. Right click it and go to properties. Under target it should say something like "C:\Program Files\The Creative Assembly\Rome - Total War BI\RomeTW.exe" -show_err -nm -mod:alexander\MA . Make sure you also have a shortcut to the normal game, AlexanderTW. Right click the latter one and click on properties. Where it said target, you should get "C:\Program Files\Steam\steam.exe" -applaunch 4770 or something very similar. Copy this. Go back to the MA shortcut and paste this over part of the target so that it reads:
"C:\Program Files\Steam\steam.exe" -applaunch 4770 -show_err -nm -mod:alexander\MA
Or something similar. This is how to start mods on Steam.