Instead of install option i have option to link executive file, but i'm sure i never installed homm3 before

You have to download the .exe file and the .bin file. (I right click and use "save link as.." to control where I put them, though I suppose they can be run straight from our Downloads folder.) I put all my GoG downloads into C:\GoGames, then install into folders within C:\GOG Games

Download them from where? I see only option to link files, not to download them.

Left clicking (single or double? not sure) the "link" downloads it (to your download folder, i.e. C:\Users\ .. \Downloads

Right clicking the "link" and left clicking "Save link as..." lets us specify where we want it downloaded to.

Use Windows explorer to find the downloaded copy of the .exe. Double left click to run it. The .bin file must have been downloaded (and in the same place) before running the .exe

Okay i do think that i found the root of my problem. I do have in library only homm3 complete edition and nothing else of homm3. So as of now i do belive i am required to get homm3 from the store and only after that i can do the linking.