I've seen a similar error message that happens on Windows 7 (with the retail game and the GOG release). Check out these threads and see if this resolves it for you.

http://www.gog.com/en/forum/unreal_series/cant_get_unreal_to_start

http://www.gog.com/en/forum/unreal_series/unreal_gold_issue

Thank you very much! Deactivationg "Data Execution Prevention" works indeed.

I am not feeling very well with disabling a security option, though.

Well, you can add the application to the DEP exceptions list so that DEP is still active but not used on Unreal.

Alternatively, have you tried installing outside of Program Files (such as C:\Games) so that it isn't in a protected system folder?

Thank you very much for your help!

I installed the game in another folder on another drive right away.

The DEP I only activated for Unreal but I am feeling a bit uncomfortable with that option too - for what do I know about lies beneath that download really?

I'd say that GOG is now established enough to be considered trust-worthy. Plus, this issue affects the retail version of the game too when played on Windows 7, it isn't anything that GOG have done to it.

But anyway, glad I could help. :)

Where in this page is the dowload button for textures pack?

http://www.unrealtexture.com/Unreal/Website/Downloads/Textures/ExtremeEnd/ExtremeEnd.htm

That page just describes the different S3TC packages available on the site. You have to select the one you want from the sidebar on the left of the page. Click that to go to the download links for the appropriate package.

Thanks! but the page don´t let me select anything :(

Either you aren't clicking on the sidebar on the right of the page or you have a problem with your browser. I've just visited the site again and the sidebar is working fine (the bars highlight when hovered over and take you to the appropriate page when clicked).

Just to confirm, the sidebar options are:

Stock Unreal
Stock UT
URP
Mods
User Made
Author
Extreme End Specs (this last option is for machine spec requirements)

I didnt been here in several days, i will try what you counsel me later :) thank you very much.