Did you ever start the game up using the trivial script for MP prior to that? I'm guessing you didn't. In order to go from an SP install and use MP, you have to switch some files around - otherwise you will get the error you just saw: you're using different game data. The trivial script is a way to avoid doing that manually, and thus making sure it's set up the right way.
The trivial script itself is a separate program that came as an optional "extra feature" with the EB installation. If you installed it, you should find that you can open the windows start menu, go to "All programs" -> "Europa Barbarorum"*. There you should find an shortcut called "Play EB MP". That will first start up the trivial script which changes the necessary files, and then starts up EB.
Then it should work.
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