Close out of Dosbox, re-open it, and type the following:
"mount c c:\dosgames -freesize 1000
c:
cd dagger
fall z.cfg"
You'll have to type that each and every time you want to play. If you don't want to type that every time, then you'll have to enter that all into your [AUTOEXEC] section of your Dosbox config file. Instructions on how to do that are contained in #7 of this http://www.gamesas.com/bgsforums/index.php?showtopic=1012957&view=findpost&p=14651383.
Cross your fingers, and... Good luck.
EDIT: No problem at all