Yes, that sounds like The Longest Journey, not Gray Matter.
That's really weird, though because I experienced something similar when I downloaded a demo recently. The Longest Journey opened instead of the demo when I double clicked on it. When I exited and restarted the demo, however, it worked fine. It wasn't Gray Matter, though, it was Murder on the Orient Express. I just tested it out recently, since it's one of those old ones that escaped me and looked interesting.
Anyway, I guess TLJ just really wants to be played.