After installing GOG version game requires CD and lets me play in multiplayer only. I realised that sometime ago I had installed orginal CD version on my PC. Probably there was some registry entry left. Additionally the movie at the beggining of game was not there [the one that shows only once and you can't skip] which confirms my theory about registry leftovers.
I tried it on my secondary PC and i had no CD problem and the intro was there.
anyone knows whats need to be claened from registry?

Windows 7: I deleted my old installation and installed GOG's version and ran it. It constantly said that the "Shadow of Death" cd was missing and would only allow multi-player. Next, I uninstalled, cleared the registry entry, and restarted Windows 7. I reinstalled GOG's version again and got the same result, no "Shadow of Death" cd. I then executed the program as admin and it worked perfectly. My solution is to enter the link properties, go to the compatibility tab and click the "run as admin" check box. That seems to solve the problem (except for the usual admin popup asking if I want to allow this program to alter my PC when starting the program).