I don't have that game but i believe you mean anno?
You still didn't install it?
Make sure you downloaded all of the files under account library anno 1701 a.d. don't know if it has more than 2 files,but i think such a message would show up if you don't have all the file parts in the same folder that you were supposed to download.
Usually game downloads have parts like part 1 part 2 and so on if they are bigger than a certain size.

Are you trying to download the game with your browser, or using GOG Galaxy?

If browser:

1. Go to Account => Library

2. Search for the game (Anno 1707 A.D.) in "My Collection", and click on the image of the game.

3. Under Game Downloads, click and download both "Anno 1701 A.D. (Part 1 of 2)" and "Anno 1701 A.D. (Part 2 of 2)".

4. Go to where you downloaded the two files (usually it is C:\Users\your_username\Downloads\ at least in Windows 7, not sure about Windows 10), and check that you have these two files there:

setup_anno_1701_2.0.0.4.exe
setup_anno_1701_2.0.0.4-1.bin

Make sure they are named exactly like that. By default stupid Windows hides file suffixes, so it might be you see only:

setup_anno_1701_2.0.0.4
setup_anno_1701_2.0.0.4-1

Either way, double click on the setup_anno_1701_2.0.0.4 (the .exe file) in order to install the game. It will use the bigger .bin file for the installation, you don't need to click the .bin file.

Then the game is installed and you should find it in your Start menu.

See the attached picture.