Did you apply the 1.2 patch? What exactly is on the screen before the error, what stage of the load process does it get to?
Please run DXDIAG, Save All Info, and post dxdiag.txt here (first delete everything after the Sound Devices section so it will fit). Also post your Rome/settings.txt and Rome/logs/system.txt files. Note that if you use Vista and have installed the game in the suggested folder c:\Program Files\Paradox Interactive\Rome\, the active versions of these last two files will have been redirected by Vista to a non-system directory, like c:\users\[name]\appdata\local\virtualstore\program files\paradox interactive\rome\. You may have to search your C: drive for them.