Welcome to the site, Mr Hennerzz!
It's a combination of a few things. Firstly the location. They had more money to spend on Going Postal, and they filmed it on location in Hungary.
But the Ankh-Morpork in the books is somewhat different in Colour of Magic and Going Postal. There are almost 30 books between the two and, without going into too much detail, much of A-M gets destroyed at one stage.
The A-M of Colour of Magic is almost Medieval, where as the A-M of Going Postal is practically Victorian. I blame the Monks of Time.
"Goodness is about what you do. Not what you pray to."