I have seen alot of people having problems with this so i would like to show you the way i have done it for steam
So to begin i would like to show the paths that they would be going to in to.
for steam its as simple as C:\Program Files (x86)\Steam\steamapps\common\Dawn of War II - Retribution
so that's click on program files in my computer then to programmes x86 or whatever you have where all your files are from there click steam then steam apps then to common and then finally click your game folder just once then install to that location it should already have that destination in the installer
once it has installed go into your folder where you have just installed it
and scroll down till your find the destoyer 40k shortcut !!!!! not the application the shortcut !!!!! run that as administrator and you should load 40k destroyer.