There can be multiple causes for this.
1) It is possible that you're clicking on the age of empires game already, but while age of empires isn't on your PC yet. Meaning you should Install the game another way. Just go "Start" > "computer" > (E:) drive. This should start up the game properly.
2) If this is not the problem, the problem might be that your data is corrupt or just damaged. Make sure your CD is clean. If you're not using a CD but just downloading the game, then this means the site you would have downloaded it from gives you corrupt data (mind possible viruses then!), meaning you should download it from another site.
If this does not solve your problem or does not accurately answer your question, please give more info about what exactly you are doing/using.
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What operating system do you have in ypur computer installed?
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