The game is loading you into a game that is already completed. This is a bug, and we're working on a fix for it. If you wait for a while, (about 30 minutes) this should go away.
If you'd like to get playing sooner, you can run a repair of your installation to fix it. (This will clear the local client's memory of the game it's trying to send you to!)
1. Load Steam.
2. Go to the Library.
3. Right click Orcs Must Die! Unchained and select "Create Desktop Shortcut"
4. Locate the Desktop Shortcut on your desktop.
5. Right click the Desktop Shortcut and select Properties.
6. Click on the URL area. Add "-repair" to the line.
7. Click the Apply button.
8. Launch the game from that shortcut.
Stand-alone client steps:
1. Locate your launch icon for OMDU. It's probably on your desktop.
2. Right click on that and select "Send to-> Desktop (create shortcut)".
3. (optional) Find that short cut and rename it "OMDU Repair"
4. Right click the Desktop Shortcut and select Properties.
5. Click on the Target area. Add "-repair" to the line.
6. Click the Apply button.
7. Launch the game from that shortcut.