I'm guessing you're following these instructions? http://www.shacknews.com/onearticle.x/59477
The most likely cause would be if you didn't follow this line exactly: "You want to extract the entire contents of the zip file to a directory on your C:, such as C:dosgames. So, when you chose Extract, the program will ask for a path, enter C:dosgames. This will create the folders C:dosgamesDFCD and C:dosgamesDAGGER."
Is the folder definitely in C:\dosgames? ie. Can you go to My Computer, C:, dosgames folder? Or is it somewhere else?