It is like it froze on me or am I not able to use the mouse pointer or dose the provinces highlight or what?

Edit: I found out that I had to go full screen...

You can play in a window if you want. Ctrl-F10 locks on the mouse.

You know, reading the title of this thread, I expected it to be about the same thing I drive myself nuts over whenever I start a new Daggerfall character-- which province to live in. Yeah, yeah, I know. Silly little things like that mean a lot to me when I'm making a character. I laughed when I saw it was a technical question, not a philosophical one.

How do you go full screen?

With DOSBox, Alt+Enter.