If you play on a notebook with an external monitor on a higher resolution than your internal screen would support be sure to reset the resolution *before* you continue to play without the external monitor. Otherwise Age III will report a serious graphic subsystem error instead of just trying to set a lower resolution.
If you ran into such a situation you have to edit the file NewProfile.xml in the My Games\Age of Empires 3\Users folder, locate a line like
<Setting Name="optiongrfxres">1280 x 1024</Setting>and adjust the resolution values accordingly.