I think all characters get the message about gloomingdeep no matter which zone they actually start in. I think it is a client thing and nothing to be concerned about.
Yes, all you need to do in most cases is the shortcut and eqhost.txt file change. Depending on the hardware of your PC, you may have other fixes to apply to get EQ working properly. Did you try any of the suggestions in the thread I linked, or do they not apply to you? Running Vista or a Dual/Quad Core CPU? If so, you need to resolve that problem before you can fix your issue.
Since you are having this problem on all servers you try, and I assume you tried at least 3-5 or so, then that points to it being a client issue meaning there is a problem on your side. You may also have one of the resolution issues and if so, try running in windowed mode or changing your resolution and see if that helps at all.
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