I'm the lead developer of Age of Mythology:Extended Edition on Steam.
Some people have struggled to install the Visual Studio 2015 Redistributables packages.
Steam attempts to install them, but a small percentage of people fail to install it. These redistributables are shared libraries that each C++ program requires to run. Things like file management, string manipulation. Nearly everything you can think of requires a dll.
Windows installs them centrally to save space, but they can be installed in an embedded way too. I don't recommend this other than a workaround.
The best thing to do is make sure you have the latest service packs, and all the Windows Updates, then install the redistributables properly.
To install, read the attached _readme.txt file contained within zip file (basically, extract all the dll files into the root directory where Myth is installed.)