First, make sure you installed the game into /C

rogram Files/Steam/SteamApps/Common/Medieval II Total War/Mods/Hyrule
This has to be done for all four parts of the installation.
Now what I do is this. I use the Kingdoms Launcher App:
http://www.twcenter.net/forums/showt...ng-Application
Install it, run the utility by adding Hyrule to the list, and when you launch the game normally, it should be in the drop-down list as if it Americas/Crusades/Tutonic/etc/
Other people have other methods which involves changing the name to make the game think it's one of the official expansions, but this method makes a clean cut Hyrule expansion for the game in the launcher.