I've got a way that should work for those of you who are like me and just installed everything the conventional way.
This may take a while, but I'm confident that it can help most people get both regular Europa Barbarorum and the Alexander version running in steam.
Before we get started. I'm going to assume that you already have a working build of EB installed and ready to go. By the way I'm doing this on Windows XP Pro: 64 Bit Edition, and I have installed RTW and all my mods into a directory that I specified myself as explained here. So my target/path is going to look different to yours. Also, because I'm doing this on XP, following these instructions to a T will probably only work on XP. Vista and 7 may structure the directories and the installation differently.
OK. So you've got EB 1.2, you enjoy it, it works fine, but you can't get it to run with steam. What do we do? I'll explain how to get it working with regular EB and EB running with the Alexander Engine.
Regular Europa Barbarorum:
Open steam then go to your My Games list. Click on the "Add non steam game" button at the bottom. Steam probably isn't going to find the application we're looking for on its own, so you're going to have to give it specific directions. Here's how:
Open the start bar, then go All Programs>Europa Barbarorum, then right click on the "Play Single Player" shortcut. From there open the properties of the shortcut so that you can see the file path/target. Copy the target from there. You should have something that looks like "C:\Program Files (x86)\EBTrivialScript\EBTrivialScript.exe" -s ebconfig.xml -runeb -type "Single Player". The exception to this being of course that a lot of you probably aren't using the x64 version of xp, so you'll just have program files instead of program files (x86).
OK, so you've got that target line copied. Go back into steam and the add non steam game window should still be open. Click on the browse button, then paste the entire target line you just copied into the text box next to where it says "File Name". If you click Open, you'll notice that it wont accept the target line that you're trying to add and just sits there. Don't worry, steam only runs .exe files, and additional details can be added in later. Cut everything from the target line that comes after \EBTrivialScript.exe, including the space. Do not delete it, you're going to need it later. Essentially, your target line should end in EBTrivialScript.exe. Be sure to delete all quotation marks from the target line as well.
OK. Click open, to finish adding the target line. Steam should have added an application that is displayed as "Configuration" and will probably look like this:

Click "Add Selected Programs" and you'll be returned to the my games list.
From there, right click on Configuration that is in your installed games list then click on "Properties". From here you should see the target line that you specified earlier. Now paste the -s ebconfig.xml -runeb -type "Single Player" including the space that you cut earlier. Click close to apply the settings. EB still won't run with these settings, but don't worry, we're nearly finished.
By default, steam will try to run EB trivial script from the directory that you have it installed to:

However windows doesn't do it the same way:

Basically all you do here is open the Single Player properties again and copy the text from "Start In" to the Start In command line in the properties for the shortcut in steam. Your command line will look different to mine, but the principle is the same.
So now, the two should look the same:


From this point you're pretty much done, so you might as well change the name of the shortcut from Configuration to Europa Barbarorum.
Click close, it'll save the changes. Click Launch and you should be good to go.
EB with Alexander:
This one is even easier. Because all you have to do is go through the usual "Add non steam game" tools, add your default Rome Total War - Alexander Expansion game file (RomeTW-ALX.exe) then just add the standard -mod:eb -show_err -nm -noalexander command line (again, be sure to include the space), close the properties and you're good to go.

Then you can enjoy your favorite RTW mod, while still being able to be harassed by your less informed friends who are wondering what the hell you're playing:
Enjoy.