WMP 10 works with RTW, at least it does for me. Anyway, if it didn't work, then it would also fail on the custom battles. If the startup videos play, then there is no problem with WMP, and if they don't and you don't have the no movies option enabled, then it only affects the menu refresh, not the gameplay.
I would suggest checking all of the required files are in the folder data\world\maps\campaign (or something like this, I'm on a University computer and can't check). It sounds to me like you have some files missing, probably from there somewhere. sons_of_mars is the prologue, and imperial_campaign should be obvious enough that I don't need to tell you.
If you installed DirectX 9.0b, then that may be the problem, as it is supposed to be quite buggy. Go to the MS website and install 9.0c. That solved a failiure to load issue for me when I got the game.
Oh, and you don't pay for an account on HG, there's no need to use your brother's account.