If you're trying to install XGM these days, you probably have a RTW installation through Steam, and you're probably having problems (judging from my experience and recent posts on this forum). Here's the issue I encountered and how I fixed it:
My Issue:
When I attempted to install XGM I got a message saying that it looks like I don't have an up-to-date (1.5 vanilla or 1.6 BI) version of RTW installed (pack.dat value mismatch). If I proceeded with the installation regardless, when I went to start the game, I got unmodded RTW. This is with Steam RTW gold.
I believe this is due to some changes in how the installation paths were being stored in the windows registry with Steam installations. DimeBagHo (the mod creator) was having to update the installer for the same issue a while ago: http://www.twcenter.net/forums/showt...-without-Steam. Unfortunately, it seems like since he fixed it, the behavior has changed again, "breaking" the latest installer he created.
To put it more simply, when you're going through the installer, it tries to pick the destination folder for you. However, it no longer knows how to find the correct destination folder, and is leaving it blank. And then your stupid ass is picking the wrong folder.
How to Fix It:
When you're running the installer, simply choose the install location for your RTW installation as the destination folder when going through the installer. It should look something like this: C:\Program Files (x86)\Steam\steamapps\common\rome total war gold\
In fact, it will probably be exactly that.