Look for a file named civ.ini which may be in your C:\Windows directory. If it's not there, then try looking in C:\Users\username\AppData\Local\VirtualStore\Windows. Open the file in any text editor and see if it contains the line "Herald Warning Shown=1". If you change the 1 to a 0 and resave the file, it should cause the prompt to appear again the next time you start the game.