Did you install the patch?? as in double clicked on it??
I assume you have the original total war game?
i have all the total war games
it took about 6 mins to download then just finished there was nowhere to double click
Try to download it again (it should happen automatically) then when it finishes either
a) note the location where the file has been downloaded to, navigate there via windows explorer and double click on it
OR
b) Choose Open from the download properties box