Don't you need to download ubisoft connect back then? Today though any game from ubisoft bought from Steam will have ubisoft connect and you'll have to make an account before being able to play the game. It kinda sucks.
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Anno 1404 came out in 2008 and I think I played it in 2015-16 or so. Back then I don't remember downloading anything extra, but honestly it was so long ago I don't remember well haha.