You are very sure that you started the Native, not the Battle for Sicily? For the start-up images and the Menu background are exactly the same. If you are sure, proceed and read carefully.
1) look at your mount&blade/modules folder.
Do you see the "Battle for Sicily 0.502" folder there?
If yes, go to 2) if no, go to A)
2) If you start "Mount&Blade 0.808" and look at the drop down menu, do you see "Native" and "Battle for Sicily 0.502"? If no, re download and re-zip. If yes, go to 3.
3) As it is, you start the Native when clicking "Battle for Sicily 0.502", now try to play "Native" and see what happens. If it then Starts Battle for Sicily, you're good.
A) Do you by any chance, see a "Modules" folder at mount&blade/modules? If so, Open that folder. BFS should be there, cut that folder and place the "Battle for Sicily 0.502" folder in mount&blade/modules. if no, go to B)
B) You did not install it right, re download and re-zip.
If this doesn't fix your problem, I can't help you. In that and any case,
Good Luck,
Servitor.