Make sure nothing went wrong with the DirectX installation Steam usually should start when you first load up the game. Check the install folder and start the supplied DX install again.
Also try http://www.microsoft.com/downloads/en/details.aspx?FamilyID=31017ed3-166a-4c75-b90c-a6cef9b414c4&displaylang=en for problems with the Media Player thingamabob.
For people with this game, is it any good?
YES. Medieval Total War + Fantasy + Sidhe = Epic Goodness.