I recently installed Daggerfall after downloading it off the website, and needed a little "help" getting out of the first dungeon. However, hitting Ctrl-f4 (invincibility) didn't seem to do anything, as the rats/bats/imps/etc could still inflict damage. I activated cheat mode by editing the z.cfg file and the other cheats seem to work, so I am rather confused as to why invincibility isn't. I am running it off dosbox and in Vista, if that helps at all.

Anyone know what's going on?

First off, I suggest you get better at playing the game. You shouldn't need invincibility in the first dungeon, it's very easy, although most of us found it a bit difficult at first.

Secondly, when you load up the game and start playing, press CTRL F4 and 'CHEAT MODE ENABLED' or something along those lines pops up, so you know when it's activated. To disable it you have to exit and relaunch the game, and press it again, and similar texts pops up again.

As for your problem, well, I'm not sure why it's not working. Try again?

Maybe DOSBox has that key combo mapped to do something else. I remember needing to edit the key map, I think for the all map locations cheat.