Hi I apologize that many of you encountering an error that prevented play. The error was that Annex stored all its log information in Megaglest directory, thus requiring Megaglest to be installed or, a empty directory created in ones appdata. Here are instructions on how to fix error:
Open annex main directory
Look for and open a file named glest.ini in notepad
Look for:
LogPath=$APPDATA\megaglest\
and replace it with:
LogPath=$APPDATA\annex_conquer\
exit and save changes
That should be all.
I apologize for the issue, I have megaglest installed and those who tested it as well so issue slipped by.
Issue will be fully repaired in Beta 2 which will be developed for PC and Linux machines, fixing some file naming errors which prevented it from working on Linux machines.