I was under the impression that Civ 3 gold included only the original game and PTW. But I could be wrong, so I'll assume you have all three versions of the game available to play. Here's a few things that might help.
First, C/GOTM is actually two competitions. COTM (current game: COTM 9 -- Scandinavia) can be played only with Conquests. GOTM (current game: GOTM 39 -- Germany) can be played only with PTW or original Civ. Make sure you're trying to open the save file using a valid software.
Second, make sure you're patched up to the correct version of whichever software you're going to use. Original Civ is at 1.29f, PTW at 1.27f and Conquests at 1.22. If you're not sure which version you're running, check the bottom left corner of the game's opening menu screen; it should be there (unless the game is completely unpatched, in which case I think there's nothing).
Third, if you're intending to play GOTM 39, it's simpler to play in PTW, which requires no downloads. You should just be able to open the game and start playing. If you'd prefer to play "original civ" (the game has been modded to make it more like PTW), there is an all-in-one installer in the first post
here that you'll need to download and run before playing. If you don't install those files, you can get some error messages, although I don't think the one you mentioned is one of them. Could be wrong, though.
Fourth, if you're intending to play COTM 9, there is one small download that is requested but not required of players; you can find it in the first post of the "saves released" thread for the game. It restores movement to the barbarian units, which are otherwise rather useless in Conquests.
Hope that helps; please ask if you have any more questions.
Renata