This can be a problem if you start the game using the M3.exe on the cd itself instead of running the M3.exe on your hard drive. Sometimes, the cd auto-run menu and desktop shortcut may be linked to the M3.exe on the cd instead of the M3.exe on your hard drive. In order to prevent this error from occuring, make sure that you run the M3.exe from the Myst directory on your hard drive. The default directory for this game is C:\Program Files\Myst III Exile
The solution would be to make sure that your desktop shortcut is using the M3.exe on the hard drive as the target.