First, make sure you have a legal copy of 3DGameStudio. I'm not saying you don't but you would be surprised the number of people who have illegal copies (which are normally nothing more than spyware and will not work).

Once you've taken care of that, download the latest update and try again. If it doesn't work then, post your version info (i.e. A6.37 Extra edition) here and we'll go from there.