Feel free to sticky this if you feel it's needed.

If you run Company of Heroes through steam you'll need to find this directory for the installation to install to:

(X is your drive letter)
X:\Program Files\Steam\steamapps\common\Company of Heroes

If you run Windows X64 or Vista/7 x64 the folder location will be the same except that the Steam folder will be inside X:\Program Files (x86)