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Problem: Every time I launched Alexander in Windows 7 from the default GOG install I saw the command prompt box with the Intro and "wait" instruction followed immediately by a Windows error box warning me "WING.DLL is not designed to run on Windows or it contains an error..." Closing that message the intro video ran and I then got the Windows prompt about whether I want this application to make changes on the computer. I allow and the game launched without further issues.

Since the game ran fine, the error box has been a mere annoyance, but one that has had me poking around my system looking for corruptions, malicious software, etc.

Solution: Find the INTRO.EXE file in the DATA folder of Great Battles of Alexander. Right click on the file, select "Properties" then select the "Compatibility" tab. Under "Compatibility mode" select "Windows 95" and check the box to run in this mode.

Result: After this the Windows error box is eliminated. It looks like this setting for this particular .exe was inadvertently omitted from the install package.
Also, if you want to launch the game without the intro video you have two options:

1. Edit the START.BAT file in the Alexander directory to remove the line: DATA\intro.exe /wait (I recommend making a copy of START.BAT first so that you can restore it if you want the video.)

or...

2. Change the Great Battles of Alexander shortcut target to: "C:\GOG Games\The Great Battles of Alexander\Alex.exe" to eliminate the command prompts from the .BAT file as well as the video. Again, you might want to make a copy of the original short cut first in case you later want to launch the game with the video.
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RedHarvest1: [...] Solution: Find the INTRO.EXE file in the DATA folder of Great Battles of Alexander. Right click on the file, select "Properties" then select the "Compatibility" tab. Under "Compatibility mode" select "Windows 95" and check the box to run in this mode. [...]
It's working perfectly ! Thanks !
Use System Restore to fix DLL errors


System Restore

Start the computer in Safe Mode.

Press the Windows key and the R key at the same time to open the Run prompt.

Type into the Run prompt: rstrui.exe.

Press Enter.

Click Next to proceed.

The next step is to select the date you want to restore to.

Click Finish to confirm the selected restore point.

Source: http://www.pcerror-fix.com