Make sure to install the game with this:
http://quick.mixnmojo.com/software/grim-fandango-setup
and launch it with the launcher from that installer. If that doesn't work then try using residual (
http://residual.sourceforge.net/).
And it's not really wise to openly state that you downloaded the game even if it is hard to find retail.
This thread also belongs in:
http://www.lucasforums.com/forumdisplay.php?f=236 which is for technical problems with the game.