I installed the free version of Daggerfall with Bethesda's instructions and I can start the game with no problem, but as soon as I click on a home province, the game crashes and DOSBox says:
Daggerfall has encountered an internal error at 0.
The error reported was: Code: 215 not found in
Exiting...
The "code" number changes depending on the province I choose; 215 for Elsweyr, 209 for High Rock, 212 for Morrowind, etc...

Any idea how to fix this?

Try reinstalling it. Did you download the patch as well?