I have a compatibility problem with my monitor at the default resolution and refresh rate, so I can't even get into the options to change it! I checked in the Windows registry and it doesn't seem like this game has a variable to set those things, so which game data file contains those settings? I'll just edit it manually.

If you go into your Start Menu, under the GOG Games, and open the Death to Spies menu, there is a Setup selection.

You can change settings from there, without having to run the game. Then afterwards, try running the game.

BTW I had trouble as well - it had defaulted to 85 Hz and I changed it to 60 Hz for it to work.

You can also choose Window mode from the Setup - something you cannot do from within the game (although I hadn't tried just Ctrl-Enter on the running game - so maybe that would also do it)