If you receive the "Shadow of Death CD-Rom not found" or similar message after you start the game, please make sure that you have uninstalled any previous versions (like a demo, or the retail version).
You should also launching the game by right-clicking and selecting "Run as Administrator" (Windows Vista, 7 and 8 only).
If you still receive this message open the Run menu by pressing WindowsKey+R and type:
and press Enter.
Here look for "New World Computing", there should be an entry for Heroes of Might and Magic III and a sub-entry named "1.0". Look for "CDDrive" and modify its value to:
This should make the game start without the no-CD message.
These entries should be located here:
HKEY_LOCAL_MACHINE > SOFTWARE > New World Computing
HKEY_LOCAL_MACHINE > SOFTWARE > Wow6432Node > New World Computing