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Download JSGME (Generic Mod Enabler) first and install it to your HoI2 file. It should create a folder called 'MODS', into which you extract the Anatolian Wars Mod folder. After that, click on JSGME.exe, install Anatolian Wars Mod 1.02 and play away!

http://www.users.on.net/~jscones/software/products.html
^ Download the generic mod enabler here
 
Much easier way to install any mod is just make back up copy of db folder, then copy the vanilla db folder and then copy/paste the mods own db folder over the vanilla one. Then mod uses moddir.

I'm just now uploading the newest version of mod! Sorry, but I noted your new music files too late :( They'll be in next update.

See the first page, new version is downloadable there.
 
You use the aw.bat file? If so, the right way to get it work is:

Next is also in the readme.txt file which comes with mod:

Readme.txt said:
First of all, you need to move "Anatolian Wars" folder to your Hearts of Iron (or DD or DD:Arma) subdirectory.

Then copy the mod's "db" folder under name "copy db" or something (it doesn't matter :D). Then copy your Vanilla "db" folder and paste it over Anatolian Wars folder's "db" folder. Then copy files in the "copy db" and paste them over Anatolian Wars/db (where you have pasted your Vanilla db). Now you can use mod-dir. Launch aw.bat and let's play!

That because mod-dir needs perdect db folder to work.
 
OK :p It's mostly because of my terrible English language. If there's somebody who speaks English as native or just very well, I'll happily add his explain to mod :D