We need more info then that to help you.

What is your operating system ?

Do you have a service pack installed, if so which one ?

Wich Direct_x version do you have ?

How much memory do you have ?

Where did you downloaded GMAX from ?

When you downloaded GMAX, were you using any download accelerator or antispam ?

Please refer to this link to do an MD5 checksum on your gmax installation file to see if it is corrupted or not.

This top has already been covered many times. Doing a forum search would have helped you faster.