I cannot find very romantic movie I watched perhaps in 1999-2003 years. I was sure Paltrow played main character. But I do not see that movie among her filmography. What I remember about plot: romantic place with a house close to sea or ocean. Young man see mysterious girl who lives in her grandmother house (castle or something else). They get closer. But later she disappears. A few years later he comes again to that place and looks she comes too

A litle bit of extra effort with trailers at IMDB and I've found it - Great Expectations (1998) http://www.imdb.com/title/tt0119223/ with Paltrow

Not gwyneth paltrow

Tarre, this version of Great Expectations (Great Expectations (1998) - IMDb (http://www.imdb.com/title/tt0119223/)) does have Gwyneth Paltrow in it so I am not certain what you are trying to say.

Victor, I am glad you found the movie you were looking for.