If "western" means set in the western part of the United States, one that leaps to mind is the first Runaway. I can't remember its subtitle off the top of my head, but mostly takes place in the modern-day Southwest.
If "western" means set during the period of European expansion beyond the Mississippi, then another one besides those already mentioned is Freddie Pharkas, Frontier Pharmacist. Its an old Sierra game from 1993, made for DOS, Mac and Win 3.1, but if you can find it, it can be made to play in later versions of Windows.
cheers,
jasper