Can we have a little more information? First, are you clicking the shortcut on your desktop or are you trying to run the game's executable directly? Running it directly will not work as it will fail to initialize DOSBox correctly, so you need to use the shortcut.
Secondly, where did you install the game? Are you running as administrator? You should either run as administrator or install somewhere OTHER than Program Files, as the extra security on the Program Files directory in Win 7 can cause games to not function properly (unless you are running as administrator, I think... but it's probably safer to just install it somewhere other than Program Flies anyway). To change the installation path, just click the "options" button in the GOG installer before installing.
If those do not work, can you tell us your system specs? That could help diagnose the problem.