You could try Revo Uninstaller. It will offer to remove the game's files and registry entries after the uninstaller fails. Note that editing the registry is what possibly caused the problem in the first place so be weary...

First let me Undo System Restore so I can at least go back to where I started because already other previous problems surfaced.

With excellent results I might add.
Witchcraft!!

He approves it!

Just because I didn't see them linked for you yet, here are the MS DevNet and MS TechNet entries for that object.

It seems there's an easier way to fix this, too, of course. If you don't want all your GOG games filling up your hard drive you could just go to the directory (folder) where they're installed and manually delete them. If your registry keys are *already* broken for GOG games, then this won't cause you any additional problems, I don't believe. You've already said you're able to reinstall them, so I feel like this is the easiest solution for you.

Well, unless you'd like to upgrade to Linux... ^_^

I'll just manually delete them. My Brother already showed me how.

Well I made a odd discovery:

When my brother was helping me he tested the uninstall problem by uninstall from Start button on 1 of the games which was Fallout 1 and surprisingly it uninstalled so we tried it on STALKER. It still would not Uninstall than we checked 2 more games Beyond Divinity and Sacred Gold and they cannot Uninstall aswell. Did not checked every game but still why did Fallout 1 uninstalled while the other 3 did not for the same reason?

I'm not 100% certain, but I'd say it has to do with the installer (and thus the uninstaller).
The software GOG uses apparently does some things via Visual Basic script or at least via WMI, the other games probably use installer software that uses another method to create registry keys.
That's my guess anyhoo.

So should I delete the installer and download a fresh one to see if it might uninstall from Start again?

Nope, the installer you download will always be the same.. unless your download is interrupted.
Sometimes running the installation again and installing the game over your old installation will create the registry keys again.
Not sure if that's the issue though since all GOG uninstallers seem to have the same problem, that might indicate more of a WBEM problem which could potentially be corrected by re-registering the DLLs if they have become unregistered for some reason.
I feel like I'm telling the same stories over and over again...

Even re-registering things that have been deleted?

If you're still getting that original error message (SWbemLocator: Class not Registered), then I think your problem is bigger than being unable to uninstall a game. In the end, that just amounts to deleting the folder, shortcuts, plus any registry entries that contain the folder name, GOGGAMES, or similar - no chance at all of messing up windows with those. OTOH, SWbemLocator appears to be a component of WMI, so something, at some point, messed up rather important system settings. Since Restore didn't fix it, I'm guessing it happened farther back in time. As smannesman suggested, try re-registering them WMI libraries. Failing that, you might want to just re-format and start fresh, or live with it.

Wait.. what?
No obviously you can't register DLLs that aren't there, but they shouldn't be gone since they're system files.
And even experienced users should be careful when removing files from within the Windows folders (or any of the Linux system folders but that's neither here nor there).
Registering (certain) DLLs basically lets Windows know how to handle certain things.
For example a DLL might let Windows know how to generate a bunch of thumbnails for a folder that contains images.
I think those WBEM DLLs contain instructions that allow scripts to use WMI to access Windows information such as the registry. Which is why re-registering (in case Windows has forgotten those files exist) could perhaps help with your issue.
It's not a guarantee, but I would personally try it before re-installing Windows because that takes a lot of time and people tend to forget at least one thing during back-up and thus lose stuff.

Re-Installing Windows comes with all registries intact? The CPU will be a blank slate as if it was new?

Either way I will consider that in the future when I feel like I have nothing to lose so I can re-install it.

No and what?
The CPU or the processor does not store any information, it processes it.
Basically it's the thing in your computer that does 1+1=3.
Reinstalling Windows usually means you remove the entire 'old' Windows installation so as not to muck up your new installation with things that shouldn't be there, ideally by formatting the hard drive that contains the Operating System.
Formatting a hard drive means all your files go bye-bye (simply said, not going into computer forensics here).
First, try re-registering those DLLs. It's a fairly risk-free procedure.

I'll ask my brother if he can get over his stubborness, because I have no skills in Re-registering DLLs.