I'm a fan of the total war games and I got this expansion at Christmas. There is very little about it from players so I'd thought I'd give my opinion for budding Alexanders out there. For this first run through I auto resolved the battles to get a feel for the campaign aspect of the game.
Startup
You have 100 'turns' to conquer the ancient world, and start out with only 2 cities out of 32 (you need 30 by the end to succeed). The Macedonians have a strong general in Alexander, and can field a couple of strong armies at the start - One in Asia Minor and the other from forces in Greece. They also have a small fleet in the Bosphorus.
Enemies
To the North of you are Illyria and Thrace - they have one good leader. You need to defend your starting cities from these but this is reasonably easy. Their 3 cities make good initial targets. There is also one town in Asia Minor just South of where Alexander starts.
PERSIA - Controlling everywhere else around the sea to the South and East is Persia. They have a strong navy so don't be tempted to sail armies or fleets out into the open seas, they will be lost. Stay in the Bosphorus / Dardanelles and they will be safer and can be used to cross forces to Asia Minor from Byzantium. They also have a number of big armies in Asia Minor.
DAHAE - They control the area beyond Persia (North and East of what is Iran today). More on the Dahae later as you won't encounter them for a long while.
Strategy
Individual Persian armies are no match for those under Alexander's leadership, provided the Macedonians are careful not to fight when heavily outnumbered.
1. Alexander (and other Macedonian generals fighting the Persians) should be leading strong armies, with good numbers of troops say around 70% or more of the opposing armies numbers, depending on quality of the two armies.
2. Take advantage of cities for defence.
To avoid being surprised by a persian army, keep your armies in captured cities until it is safe to move out and pick off another city or enemy army. Repair city walls to help in the defence while reinforcing or retraining your troops to bring the army up to strength. If besiged your force can sally out and attack the enemy and reduce their numbers until they give up. Once ready to move, scout the next target with an expendable unit.
3. Build your income
Macedonia starts with only two cities. Funds are limited. Improve these by
a. capture of enemy cities. I start off by clearing roving enemy armies then besieging the city. Assualt as soon as you can (Alexander cannot hang around to wait until the defenders capitulate). Hoplites and similar are deadly in the narrow streets of a city or town anyway.
b. Enslave or exterminate populace.
Initially I don't do this as I want the cities as they are. After the first four or five, this becomes useful to fuel growth elsewhere and raise money, or to reduce cities that will be difficult to hold.
c. Demolish unwanted buildings.
You don't need all those buildings. Keep any that generate income or are needed in one of your cities for recruiting or retraining units, or for law and order, but demolish the others for income.
d. Build income generating improvents.
Do add mines, agoras and possibly ports as these generate income. Also roads help trade (and movement of troops).
4. Maintain your army strength.
Alexander (and later other generals) must be kept supplied with a strong force to replace battle casualties. You are aiming for a strong stack to move onto the next assault and be able to leave or move in enough forces to maintain your occupation of that city.
a. In an emergency, recruit mercenaries - these will be expensive so only do this if there is an immediate threat of an attack which cannot be repulsed without them.
b. Recruitment
Put this before construction to start with. You need strong armies but don't over recruit as this will drain your limited funds early in the game. Retrain forces in cities unless you need the extra forces for law and order. Concentrate on hoplites mainly, each main army can have a few supporting units (Missile and cavalry)
c Build roads.
This will generate extra income from trade, and allow reinforcements to move rapidly, and units to move back to where they can be retrained. It also allows fewer forces to be left to defend rear areas against attack from rebels and any armies that break through.
4. Watch out for easy opportunities
A poorly defended city, or a weak army could be a target for an swift victory. This could allow a leader or units to gain easy experience, or a chance to gain income from looting and demolition.
Use expendable units to scout areas (cavalry are best) and later on, spies to check towns to be assaulted soon. Don't expose main armies to risk though (If Alexander is killed the game ends). This can also gain you a new general if a stack without one is successful in a battle.
Civil War
At year 65 or so the unexpected happened, I recieved a message saying 'Persian Faction Destroyed'. At this point I only held 12 territories, although my forces were in egypt, syria and scouting forces were near the Persian capital. What happened was the Persians had a revolt and lost many of their cities and armies. I don't know if this happens every game, but it certainly helps as now the Persians have to fight the rebels and Alexander and they don't last long. The Dahae take over.
Year 50 and fighting battles
By this time the Macedonians are pushing into what is now Iran, having captured Babylon and Susa. Income is huge (30,000+ per year) and at this point the outcome of the battles is less critical so it is a good time to get some practice with hoplites (soldiers carrying a long spear) in battles.
There is good advice elsewhere on this. I would say that Hoplite style troops are slow, but very effective once they close with their enemy (provided they don't get attacked in the flank). You will need fast auxillary units to pin the enemy while your slower troops close, and to persue the routing enemy once the hoplites have broken them. Keep hoplites and other spear troops in a line with missile troops just behind them. Push the line up to the enemy and watch any frontal attacks perish on the spearpoints. Hoplite units are also deadly in narrow spaces in towns, such as gateways and streets.
The DAHAE.
Once through the persians you will encounter the Dahae. They have lots of assassins so keep Alexander safe by placing a couple of spies with his army. Their homeland is in the North and East what is now Iran, and beyond the mountains which ring this area. Access through these mountains is through a couple of passes, and the cities in these passes are crucial points. Beyond them you are exposed to attack from the main Dahae armies before you can capture their remaining cities and win the campaign. Capture the cities and use them to reduce attacking armies and rebuild your forces for the final push East and North.
REBELS - As your empire expands and you move your capital East, you will see more rebels appearing in Western areas, you'll need to leave forces to deal with these. Good roads and fleets can help move forces to deal with these.