You have to press CTRL+F4 togther. Release them. Wait half a second and press Enter. Wait for a second, then Darkside should load.

If I may advise something though: You might want not to go to Darkside straight away. The game is slightly. You can get tons of easy XP on the first town Darkside, and if you get it first, then most of Clouds of Xeen becomes way too easy.

I suggest completing Clouds of Xeen first, then start Darkside.

"The speech originally came on 2 audio CDs, so, while playing, you would get a "change CD" message. The version on GoG contains 2 CD "images" with the message changed. The key combination is actually a DosBox hotkey combination to tell DosBox to virtually switch virtual audio CDs: -)

Try hitting the combination only once and waiting a few seconds for Xeen to recognize DosBox mounted the new CD. In some cases it has taken Xeen a while (10-15 seconds) to see the new CD while I have been playing." (Me)
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"This might be a silly thing to point out, but the combo is actually Ctrl+F4 release, then press Enter. Not the 3 keys together. That's what worked for me at least. And you might have to wait 5-10 secs." (ZFR)
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http://www.gog.com/forum/might_and_magic_series/entering_the_darkside_portal_pyramid

As it turns out i simply was too fast!
Hitting Ctrl+F4, waiting a few seconds and then hitting Enter worked !

Thanks a lot to both of you.

Yeah when GoG first had WoX, they didn't have the CD version... So I installed my old CD version of it and it doesn't give you any prompt! You just have to read the Dosbox documentation to figure out how to do it!

And I'm telling you it was a bitch to set the game up, because you had to set the CD audio offsets by hand after ripping them, or you'd get the audio from the middle when you talked to somebody.

I'm so glad GoG was able to get the CD version, with it programmed with the prompt and everything.. I'll never have to figure all that out again. :)