This means the game doesn't support VGAbox, and this support is required to get the game running. So if it doesn't support it, it will give that message.
Try playing games which do support it, you can look at it on the back of the GD case
Afterall you do own that part of the game like anyone else
Btw. at the sticky thread you can see which games run and which don't, you might wanna take a look in there.
Good luck!
Cid H.