I installed Steam using the PlayOnMac installer script, and that worked splendidly. Within PlayOnMac, I also successfully downloaded and launched Age of Empires III. However, as soon as it gets to the splash screen, it crashes.
Using the most recent PlayOnMac (4.2.5) and Wine 1.7.33. I went to the NewProfile.xml and enabled V-Sync (optionenablevsync = true). I registered l3codecx.ax, and have the following overrides (all except gameoverlayrenderer were done using winetricks):
d3dx9_43 (native, builtin)
dsound (native, builtin)
Here's my PlayOnMac output when I ran it from Terminal: http://pastebin.com/sh1TzqyX
Here's the Windows/Wine backtrace: http://pastebin.com/ULAUwbTz