You must edit your preferences.txt file with notepad (but make a back-up copy of the file first!).

1. Close RTW
2. Use Explorer to navigate to the "Rome -Total War" folder (aka directory).
3. Backup preferences.txt (e.g., copy it to another non-RTW folder or My Documents, etc.)
4. Open preferences.txt in notepad (right-click on it will give a fly-out menu)
5. Change the line from:
DISABLE_ARROW_MARKERS:FALSE
to
DISABLE_ARROW_MARKERS:TRUE
6. Save the changes
7. Play RTW

Ah, was afraid that would be the answer.

I have done that but it hasn't made any difference, I must have a corrupted file or something somethere.

Odd because it plays perfectly with no problems and as I said above, changing that option works perfectly in my install of Total Realism.

On a stock install, I have not seen this fail. It is certainly possible, but I do not know why... assuming you install to a fresh copy of XP SP2, updated, Stock RTW Patch 1.2. So its something, maybe something unlikely, that has stepped in (maybe uninstall remnants in registry, I'm not able to test this problem since I can't create it). Let's see if the impending 1.5 patch will help any.