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It sounds to me like you're not running Steam as an administrator, which is necessary to get the game working for the first time (don't ask me why).
See my thread: http://steamcommunity.com/app/105450/discussions/1/358415738197491724/
The working solution I found for me is launching Steam as an administrator and launching all three launchers (the vanilla, Warchiefs, and The Asian Dynasties) from Steam. A key is no longer required then.