Hi! Welcome to CFC.
Ok - first, if you have Play The World, it is much easier if you play that version instead, because otherwise you need to download some add-on packs that give you units and Civilizations for the (vanilla) Civ3 that are equivalent to the PTW civs - you can't play this in Conquests, but when you install conquests it does actually install PTW as well.
If you only have Civ3, then you need to download the following files. They are quite hefty (about 18 MB all-up), but you only need to do it once.
GOTM 21 Full setup:
http://gotm.civfanatics.net/games/saves/gotm21_v129_full_setup.exe
GOTM22 Add-On Setup:
http://gotm.civfanatics.net/games/saves/gotm22_v129_add_on_setup.exe
GOTM23 Add-on Setup:
http://gotm.civfanatics.net/games/saves/gotm23_v129_add_on_setup.exe
GOTM24 Add-On Setup:
http://gotm.civfanatics.net/games/saves/gotm24_v129_add_on_setup.exe
GOTM 25 Add-On Setup:
http://gotm.civfanatics.net/games/saves/gotm25_v129_add_on_setup.exe
Run each of these installers in-turn, and make sure that when you choose the install directory, that you choose to install them to the directory with the civilization3.exe file in it - for a standard install, it is something like c:\program files\infogrames interactive\civilization3\ - make sure you get this right, or it won't work properly.
Unfortunately, once that is finished, there are a few other tweaks you need to make, because we've changed things slightly since GOTM 25. Look in
this post for the steps you need to do.
Like I said, if you've got PTW, then its much simpler for that - just download the PTW save and go! But once you get this install done, it should work pretty-well going forward.
