I just downloaded Daggerfall from http://theelderscrolls.wiwiland.net/?title=Daggerfall_:_DaggerfallSetup_EN. I got all the long way to the part where it asks you for your home province. For some reason, I can't click on the Imperial Province? I can choose all others, but I want to be an Imperial. Any help?

Same here. All other races are are fine.
I got mine straight from the elder scrolls website so its not the site.

It isn't a bug. Imperials were introduced in morrowind, before that they didn't even exist.

'Imperial' just meant a mixture of all the races living in the same cities in the imperial province....they werent defined a their own race until Morrowind. In this context, an Imperial could be a Argonain, High Elf, Nord or whatever, and still be classified as an Imperial.

Bretons or Nords are ya best bet in term of the human race. In term of "Imperials" as a race, its just a combination of humans calling themselves Colovians and Nibeneans that basically become the "Imperials" to create less headache, if I recall correctly.

Tried making an orc yet?