Why after loading PC game does it say video mode not supported

This maybe one of two things. Firstly check that your video card supports the game. Check your games system requirements and compare it with your Video Card. It may need a better one.
Secondly you will need to check your monitors refresh rates. Some games command higher refresh rates than your monitor can provide. This is especially true for TFT/LCD monitors. Vista is also prone to force refresh rates to 60hz whereas if a game is forcing the application to run at 85hz - Mode unsupported/black screen/out of sync or timing will appear on your monitor.