http://forums.taleworlds.com/index.php/topic,210574.0.html

Extract the Native Expansion .zip into the 'Modules' folder, located inside your M&B: Warband folder.
If you're trying the beta version, it will appear as 'Native Expansion [BETA]' in the drop-down menu when you launch M&B.
If you have already installed any 600 series release, you can use the universal patch above to bring your copy up to date rather than downloading the full 150MB release. Versions prior to the .600 series are missing textures provided in .600 series, and will not work properly with the patch.
The patch can be unzipped in your Modules folder. The patch is NEVER NEEDED if you download the latest beta.

Steam Users: Your M&B: Warband folder is located under C:Program FilesSteamsteamappscommonmountblade warbandModules
Steam users with 64-bit Windows: Your M&B: Warband folder is located under C:Program Files(x86)Steamsteamappscommonmountblade warbandModules

Additional Recommendations:
We highly suggest you also install the Siege Pack, an awesome addition by Lord Samuel that updates city and castle maps to have additional ladders for sieges.
It is located here: http://sami.is.free.fr/datas/temp/NE_Warband_Siege_Scenes_Pack.zip

soulmata personally suggests you use the M&B Battle Size Modifier, and crank your battles up to at least 400 if your CPU can take it - and 800 is even better.