To see a 'IPX connection for direct play' in aoe follow these directions.

First go to your control panel>Network connections>then you should see a 'local area connections' icon. Double click that. A box should pop up. scroll down in the scroller and check the box that says "NWLink IPX/SPX/NetBIOS Compatible for transport proto.....' then click ok. now run aoe and it should be there.