Downloaded windows version, opened up zip...
Don't see DUKE3D.GRP
DUKE3D.GRP is the game data, you'll need to copy it from your GOG Duke3D folder.
So I found DUKE3D.GRP in the game directory. I've copied it into Duke3D
Alright, so after that, then what? The zip file is external, it is beside the actual game directory, so how does it affect the game?