Windows has a way of messing around with modders (and players of mods) due to it's security feature called the 'Virtual Store'. It happens when files are being updated, eg a new patch is installed.

This fix is a one time affair - after that your Medieval II Total War folder will not be affected by the Virtual Store issue any more. Detailed explanation on how this principle works can be found in the linked tutorial below.

To solve your problem start the tutorial at point 3 and work yourself through the post. At the end please do not forget to delete the Medieval II Total War folder in the Virtual folder.

How To Fix UAC and VirtualStore Problems