Moderator Action: Moved to tech support.
Since G&K is "just" a DLC, the normal file checking function will take care of everything.
If this is the first time you try to start G&K (means you just bought it, and you have not been able to play it), then you might want to check the Civ5 and G&K folders, and delete the .wmv files out of these folders. That might do the trick.