If you're using Win7 or newer, I guess it has something to do with the Game Explorer in Windows.
Here's a thread on GOG forums about it: https://www.gog.com/forum/general/games_explorer_gameuxdll_and_rundll32_issues_with_offline_gaming
Here's a thread on GOG forums about it: https://www.gog.com/forum/general/games_explorer_gameuxdll_and_rundll32_issues_with_offline_gaming