This usually encountered for those using Steam with 64-bit Windows. It's because older games (like RTW) are build during 32-bit Windows and will try to look for the program as in 32-bit enviroment where it could not find it, hence the error occurs.
Users of 64-bit Windows will have Steam located here by default:
C:\Program Files (x86)\steam
The solution is to add your Steam location to your path.
Here's how you modify the 'Path' environmental variable;
Right-click on "Computer" (in XP it was called "My Computer") and click on Properties.
in Vista / 7, on the left click on "Advanced System Settings". On XP, skip to the next step as you're already on the right screen.
In the Advanced tab, you'll see a button for "Environment Variables". Click it.
In the lower section of that new window, you should see something like "System Variables". Scroll through to find the one called "PATH". You could probably create a user variable for this instead if you wanted
Highlight the entry for "PATH" and click "Edit...".
You'll get a too-small text box that has a field on the top for "Variable Name" and a field under it for "Variable Value". Put your cursor into the "Variable Value" field and hit the [End] key so you know you're not inserting text in the middle of another entry. If you push the right arrow key it should not scroll.
Add a semicolon [;] to separate your new entry from the others.
Paste in the path to Steam, which for me is D:\Game Files\Steam but if you've installed to the default location on a Windows 7 64 system will be:
C:\Program Files (x86)\Steam
Press OK, and re-launch Steam so that it gets the new environment variables.