W LoadWadFile : couldn't load gfx.wad

This error messages hints at a problem with your Quake installation. The file structure should resemble this:

Your Quake Directory (directory)
  \--ID1 (directory)
      \--PAK0.PAK (file)
      \--PAK1.PAK (file, not necessary if you just want to play the shareware/demo)
  \--QUAKE.EXE (glquake.exe or whatever) (file)

In plain text: Inside your Quake directory there must be a directory called ID1. Inside the ID1 directory there must be the files PAK0.PAK and PAK1.PAK. The executable must be in the Quake directory.

If you cannot figure out what is wrong, try reinstalling.

Linux/MacOS users have to make sure all files and directories are lowercase. On Windows this does not matter.