The versions of Men of War available at GOG.com (http://www.gog.com/game/men_of_war?pp=51af0418179317caa1e2d452f67017b44d428d8d) have different registry keys from the original retail games. This means that DCG will not auto-detect your game folders during setup and that it may not automatically switch between the DCG window and the game window. DCG is still playable in this circumstance (just select the folders by hand).
However, if you want to update the Settings.xml file to work normally with the GOG.com version of Men of War, you can change the following line in Notepad++ or some other text editor:
Change this line: <gameregistrykey>Men of War (Remove Only)</gameregistrykey> To this: <gameregistrykey>Men of War™</gameregistrykey>
Version 4.5 of DCG will fix this so that it works normally with either version.