MrMuh:
Sorry to hear about your crashing program.
There are a couple of dungeons that have been wrongly designed and that therefore lack connections between the various module blocks (either that, or I simply never figured out how to get from A to B myself). But these are very, very rare. On the other hand, it is not at all unusual that you will have to click on a torch, lever, etc., in one part of the dungeon in order to oppen a secret door, hatch, etc. in another part. Finding the levers and figuring out what they do can be devilishly difficult.
Shades:
Damn good question. I do what you do, or simply view them as "see through walls" and try to find another way to get to the area behind them. I'm not sure what the story is with those structures: they're so difficult to get through that it seems hard to believe the game designers intended you make it through.
Another tip for beginners: you come to a pit with chains hanging above it. These are pretty common. You don't know how to get down without killing yourself. Try clicking on the chains. Sometimes they'll cast a levitation spell on your character.