Customers who are looking for to play Age of Empires III: The WarChiefs, and Age of Empires III: The Asian Dynasties, you may have some difficulty, it appears upon installation shortcuts to launch the DLC are not placed on the desktop.
To create your own shortcuts, please follow these steps.
1. Navigate to your default installation directory, in most cases it should be
C:\Program Files\Steam\steamapps\common\Age Of Empires 3\bin
2. right click age3x.exe or age3y.exe and select "send to"
3. Select "desktop"
This should prompt to create a shortcut on your desktop, with this you can launch the game from your desktop.