Here is the solution on the Age of Empires Online Forum (added details at the bottom from me):
When you launch the game you may be prompted for your Live Access Code. Here is how to find it:
1. Open the Games For Windows Client
2. Click the Downloads tab
3. Click the icon for Age of Empires Online
4. Click View Keys
5. You will see a numerical code under LIVE access code. Enter this code when prompted in-game.
I don't know about you, but after I completed those steps, nothing showed up in the downloads folder. I downloaded my game from the ageofempires.com website, which might be the problem. My solution was to go to the marketplace (on the Games for Windows Client) find Age of Empires Online, and re-download it. It will add it to your download queue, but luckily, it realizes that the game is already downloaded, and skips that whole long process. Click Play once it shows up, and then start the game up. Click Play on the main menu, sign in with your live account (email and password), and it should skip over the entire process where it asked you for the key. Worked for me, hope it works for you too! -KocoKoalaboy
http://forums.ageofempiresonline.com/forums/thread/76765.aspx and my own experience.