Gabriel Knight 3 can request a CD in some rare instances.
To bypass this CD check, please download the GK3.zip file from here:
Once downloaded open the GK3.zip archive, you should see a GK3.exe file inside.
Copy the GK3.exe file to the game's directory (the default game directory is C:GOG GamesGabriel Knight 3).
A GK3.exe file should already be present.
When asked if you'd like to replace the file, say yes, and trying playing the game one more time.