If you, like me, bought the game from way back in the day, they’re no longer updating the game for whatever reason. UPDATE (2): Since this is such a popular post and is still one of the top results for how to install the mod, here are the updated instructions:
UPDATE (7): I haven’t bothered to run the Game of Thrones mod in a few years I find, for the hassle, it doesn’t actually make that much of a difference over the original Crusader Kings… but William recently commented on this post and suggested that this method works a charm, so give it a shot: