It may be that your video card cannot run the game. First make sure you have applied the 1.3 patch.
If that doesn't help: 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.log 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.