Reference this thread:

http://www.gog.com/en/forum/colonization_sid_meiers/cant_get_it_to_work

I'm having the same problem except that when I try to change the graphic mode in graphic mode setup I get an error message when I click 'Save Settings' or 'Start Game' that says 'Error: Game not installed'

The default graphic mode when I do open the graphic mode setup has nothing selected. Any suggestions?

Thanks