This is a specific setup for:
ROME: TOTAL WAR | RTW: ALEXANDER

1) Boot game in Windows XP (SP3 OR SP2) Compatibility Mode.
2) Boot up Task Manager.
3) Click 'show procceses of all users.' [This will make sure that you can edit the affinity and priority]
4) Right click RomeTW.exe.
5) Set affinity of (RomeTW.exe | RomeTW-BI.exe | RomeTW-ALX.exe) to any one core but NOT CORE 0.
6) Set priority of game.exe file to High. (OPTIONAL)

or:

Download a .dll file named d3d8 from online sources, and make sure you scan it with VirusTotal.org!

This will make sure that the game will run properly with the lag lessened to a humongous amount.