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If you do have all the relevant IWADs in a place where GZDoom should be able to find them, type queryiwad at the console and hit return. If it tells you that queryiwad is set to false, type queryiwad 1 and hit return to set it to true, exit and restart the game and you should be presented with the iwad selection dialogue.

If you only have one iwad (in this case doom 1) in a path that gzdoom searches, it will just start up that iwad because there is no other option. There are some mods that have a lump or w.e. that tells it what iwad to use but it doesn't like that is whats happening. Are you using loose copies of the iwad files themselves or do you have doom installed through a platform like steam or gog? If you just have the loose iwads, u can put them in gzdoom base directory or anywhere else as long as you specify the path in the gzdoom.ini. also when you say start up gzdoom, do you mean the gzdoom executable or are you using a launcher?

When I open GZdoom or any mod, the game automatically starts Doom 1, I don't get the menu to choose Doom 1 or 2.