If you have windows 10 and are working from clean install Scroll down and find your d3dx9_24 through d3dx9_43 files, highlight, right click, copy, paste into Rome main folder. If you have a working copy of Rome and upgrade, it will still work.
In the menu that appears – Go down to ‘New’. Right-Click in a blank area inside this folder. Where to find Rome Total War in Windows 10?