I click on the desktop shortcut for Might and Magic VI, but I get a screen saying there is a problem/error and the game won't load. Has this happened to anyone else?

It would be helpful if you post the exact error message and/or a screenshot, plus what operating system you are using. There could be really many reasons why the game won't run.

Sorry bout that, this is what the error screen says:
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Might and Magic VI has encountered a problem and needs to close. We are sorry for the unvonvenience. If you were in the middle of something, the information you were working on might be lost. For more information about this error, CLICK HERE.

I clicked on the CLICK HERE button, this is what it says:

Error Signature: AppNamel mm6.exe AppVer: 1.0.0.1 ModName mm6.exe. Modver: 1.0.0.1 Offset 0090568. To vie technical information about this error report, CLICK HERE.

I got a bunch of letters and numbers, but one thing that caught my eye was where it says System Information, it says Windows NT. I have windows XP, I asume that is my prolble, but I thought my downloads were for WinXP

I tried parts 7-9 and t hey work just fine. I played MM2, again, no problens.

Maybe this thread can help you:

http://www.gog.com/forum/might_and_magic_series/cant_get_gog_version_mm_vi_to_work

If installing the patch doesn't work as well, I would suggest to contact support. They should be able to help you:

http://www.gog.com/support/might_and_magic_6_limited_edition