Hi, I just bought Caeser 3 from GOG and downloaded it but my virus protection came on and said it was a threat with the name Trojan. Whats going on here?

A false positive.

It means anti-virus companies ask software makers to send them their program for validation otherwise it's seen as an unknown threat. Then, customers buy the anti-virus to get a sense of security and get a problem like this one.

Anti-Virus programs are not just like they used to be. Nowadays they also incorporate a lot of system-monitoring and intrusion prevention, exploit mitigation techniques. It could be that this old game tried to manipulate system memory or privileged directories or operating system facilities in a way that is no longer tolerated in modern versions of windows, and the AV is throwing up a warning.

It could also be that the executable is using some kind of compression, which, at the time, might have been an anti-piracy or optimization measure. I think that's less likely, however.

Further, AV companies used to get paid to flag cracks and things as trojans. I don't know exactly what the rules are, but it could be as simple as it detected a version of caesar3 that didn't match what it wanted. There are some holdovers from that era that still cause things like that to happen, caesar 3 could be one of them.

GOG doesn't give you computer problems. It is a false positive.