your profile says you have version "Gamestudio Pro 7.07"
before you try to continue, you should update to the latest stable version! late versions of A7, like the current 7.84, correct some bugs of the old ones.
you can do this by entering the download-site (http://www.3dgamestudio.com/download.php), download the installer and choosing the update-option

nevertheless, did you search in the gamestudio-directory about the palette.pcx? is the file missing? or writeprotected?