Here is what helped me:
Running AOE 3 under Windows 7/Vista in compatibility mode.
- Right-click the game's .exe file
- 64-bit location: C:\Program Files (x86)\Microsoft Games\Age of Empires III
- 32-bit location: C:\Program Files\Microsoft Games\Age of Empires III
- Read this if you don't know which Vista\Win 7 OS you have.
- Select Properties.
- Select the Compatibility tab.
- Check box next to Run this Program in compatibility mode for.
- Scroll the menu below this until you find Windows XP (Service Pack 3).
- Click Apply and then OK.
Here and here are pictures to go with the explanation above.
As far as I know, most versions of Windows 7 include a compatibility tab. However, if yours doesn't then try this.
http://windows.microsoft.com/en-us/windows7/make-older-programs-run-in-this-version-of-windows
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