Well these games are real simple to work with, copy the exe file to its own
directory somewhere   for instance:

from c:>
tpye:
mkdir win
(to make directory win)
cd win
(to change directory win... or goto)
mkdir bandit
(make the directory bandit inside the win dir)
cd bandit
(goto the badit directory)
(stick disk into drive a: if not there already)
copy a:bandit.exe
(copy the program)
bandit
(this  will uncompress the files!!! all by itself)
dir
(look at the directory and find the new exe file write it down)
win
(go into windows)
pull down the files menu and select the new
now look at the windows and check the add a new program
description: bandit
comand: (the full program name) bandit.exe
working directory: c:\win\bandit  (where you put it)

when working with other files   change badit to the program you are working 
with...etc