You receive a "Game paused" message when you try to load a saved game in Age of Empires III

I've been having this problem for quite some time now... but never took the initiative to look for a solution... but now I'm glad I did...

SYMPTOMS

When you try to load a saved game in Microsoft Age of Empires III, you receive the following message:

Game paused

RESOLUTION

To resolve this issue, when you load a saved game and receive the “Game paused” message, press the PAUSE/BREAK or F7 key to play the saved game. By default, the game is designed to load the saved game in the paused mode.