Would you mind sharing your specs? Especially RAM and GPU, as it would help a lot dealing with your specific issue. The thing about gaming on PCs is that there are loads of different combinations of hardware and software that make games a chore to play.
Off the top of my head, all I can advise is to not install any game (or program, for that matter) under the 'Program Files' folder, if you're running Windows Vista or 7. Other than that, you'll have to share your computer specs with us in order to get any sort of help. You could also try contacting GOG support, if they can't get the game running for you, you're entitled to a refund.