Apologies for spamming the general discussions, but I need to repeat my comment from before.

You cannot use WIN 10 solution for DEP exception on WIN 11.
Exception is overridden by Windows Security APP.

Please follow these instructions on Win 11 for KOHAN 2.
And! Also since Axis and Allies use almost the same engine. This method WORKS for that game as well.

In the search bar or press Windows Key - type Windows Security
Select it and open.
Select tab - App & Browser Control
On the bottom there is -> Exploit protection settings - click on that.
Select other tab - Program Settings - > Add program to customize -> Choose exact file path
Find kh2.exe and select it.
Once that is done. Scroll down and find DEP (Data Execution Prevention)
Click -> Override system settings
And select - OFF
Apply. And you are done.