First of all, before you download, see if you have these minimum requirements:
- Microsoft Windows XP
- 1.4ghz Processor
- 256 RAM
- 64 MB Video Card that supports HW T&L
- Approximately 370MB of Hard Drive space (not including installer)
- DirectX 9c
After that you can download the Age of Empires III demo, this is a direct link and has about 350MB.
If you have problems installing you might take a look at this thread on Direct3D Initialization Problem in Demo or make sure the following requirements are met:
AntiVirus software is temporarily switched off
Programs that provide a "shield" around your system settings should be temporarily switched off (The new ZoneAlarm 6 does it, as well as MS's Anti-Spyware software and Spybot's Teatimer)
Your video card drivers are up to date
Your DirectX installation is up to date (current version is 9.0c)
Your system is spyware and virus free
You should close as many programs as possible before you install the game to minimize any chances of error
I'll post my impressions too after I test it, but as I said I didn't see too many good things being said about this Age of Empires III demo. My opinion, let's give it some time people, it is just a demo and there were something like 800 bugs at that time, I'm sure the final release will look better.