In order to advance from one scenario to the next, you need to build a castle that has at least the number of castle pieces required by the scenario (which you are revealed during the introduction, and can refer to by consulting with your Royal Advisor). Hope this helps!
Kaelon

This is a really old reply, alas, but Kaelon didn't even read your post, apparently. -.-
You need to make sure that all of your walls are ACTUALLY "complete". I had this happen to me earlier today, and I went to the Interplay site and looked up the support information on Castles. I had one wall that LOOKED complete, but needed like, one more day's worth of work. As soon as I tossed a couple of workers on it, it finished, and I was able to move on to the next area.

Hi all. I joined GOG.com initially because of the Castles series.

I too have a problem progressing past the first stage. I have completed my castle, and then I go to the summary page. My name has changed to King Beginner and it ends the game as if I was doing a one castle campaign, but I'd selected the eight castle campaign.

I've always saved the game partway through - is this possibly why? I just want to get to the second castle!

have you manually clicked on all castle pieces and inspected them? There's a chance one of them is almost done but not quite done.