Everytime follow the instructions to get daggerfall started, dos says that I have the wrong cd rom, what does this mean?

Edit: I got it to work, but there is no sound.

This happened to me when I was trying to run the game with DAGGER.EXE, I kept getting the error even if the paths in the z.cfg file were the correct ones.

Try to run Daggerfall with the FALL.EXE Z.CFG command instead (just make a dagger.bat file with the text "fall.exe z.cfg" and run it in dosbox). It should work fine.

EDIT: I see you got it work. Run the setup.exe to configure the soundcard and get the sound working.

How do I do this? I searched around but could not find out how.

Check the windows sound settings. I had no music until I found that the MIDI volume was set to zero. There are separate volume controls for about half-a-dozen sources, and you may have the wrong one muted.

Run the SETUP.EXE file with DosBox and let it autodetect the sound/music card.