I had the same stupid problem. It took me forever to figure it out. If you have it, go into your Age of Emps 2 folder, click on the Support folder, and then use the "No Startup" shortcut. You might not have the support shortcuts though (I have the Gold Edition). Try it, and tell me what happens. If you still don't get it, I'll refind the support page that I used (it talks about that exact error message).
All those "extras" that came with the Gold Edition are just shortcuts with command lines added to them. You can do the same thing yourself in 10 seconds. Right click on the shortcut on your desktop (or wherever) and in the box that says "Target" add "-nostartup" to the end. So it should look something like this (assuming default install location).
"C:\Program Files\Microsoft Games\Age of Empires II\Age2_X1\age2_x1.Exe" -nostartup
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