oninowon: On my main screen there is the option to Play the World. Not sure why it does not show up on yours
By "main screen" do you mean your monitor or in-game menu? There`s no option to select which version of Civ3 you want to play from the main menu of Conquests and this also applies to the cd version.
If you did install Civ3 and both expansions separately from cds you probably would have three separate shortcuts on your desktop, or "main screen". The Complete version, both digital and cd version, just puts one shortcut on the desktop that launches Conquests. To play either vanilla or PtW you have to navigate to the game folder and launch them from the appropriate executable. As these executables are missing in the GOG version only Conquests is playable.