The Settlers 3 serial number must be entered once in Settlers 3 itself. If you receive the above message again and again, proceed as follows:
Start The Settlers 3 without using aLobby by directly running the s3_alobby.exe file.
Tip: For the file to exist in the Settlers 3 folder, the aLobby must already have been installed and started at least once.
Default directory Gold Edition: C:\BlueByte\Siedler3
Default directory Ultimate Collection: C:\GOG Games\Settlers 3 Ultimate
Start a multiplayer game in Settlers 3. This way you will be asked for the serial number.
Enter the serial number, click Ok.
Exit Settlers 3.