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Quit the game, open hoi3/map/cache, delete everything in there. Start the game back up. it'll take a while to load the first time but it should fix it.
By any chance are you using windows 7 (or maybe vista) and have hoi3 installed in your program files folder? If so windows makes a backup copy and runs that instead. You'd either need to move your hoi elsewhere, or search for the backup files and delete the cache in there too.