1.) The setup in your DAGGER folder is what you use to set up sound. If you've set it up through there and it still doesn't work, I don't know what to tell you.
2.) If you're using DOSbox, hit alt-enter to get full screen.
3.) There are a couple online sources on how to get through it, though I'm not sure where there are. If you're getting to the room with the huge stair case, jump on the throne and hit the lever next to it to go up. Then follow the hall to the left and the 2nd or 3rd room will have the exit in it.