If I remember correctly, that problem is caused by missing out one of the steps in the installation procedure. Unfortunately I don't think we ever worked out exactly which step...
Did you:
Install to a clean HoI installation (with no other mods installed)?
Apply the no-time limit patch?
Delete all the files and directories listed in the installation instructions before installing TGW?
Make sure the shortcut to TGW is pointing to the correct 'Target' .exe file and 'Start In' directory?
I'm guessing it's one of the last two points that's causing the problem. Let us know how you get on.
Did you:
Install to a clean HoI installation (with no other mods installed)?
Apply the no-time limit patch?
Delete all the files and directories listed in the installation instructions before installing TGW?
Make sure the shortcut to TGW is pointing to the correct 'Target' .exe file and 'Start In' directory?
I'm guessing it's one of the last two points that's causing the problem. Let us know how you get on.