If you are playing the original disk version of the game, then Firefly Studios only made the 4th Stronghold Legends bonus trail "Arthur's Challenge" available to the Gold version of the game. If you are playing a different version of the game, you must download this bonus content as an additional application, and install that first. You can get this from our downloads section here.
Inside the new bonus content, you will also have 13 new Firefly-made maps, including:
If you are playing the Steam Edition of the game, then this should automatically be included within your game.