You will most likely not be able to play this game until you edit the file MORIA.CNF.  All you have to do is change the directory paths mentioned in line's 28 & 29 to match those of your MORIA game directory.  
For example, if you have moria installed in the C:\MORIA directory, simply change lines 28 & 29 from this:

SAVE c:\games\moria\moria.sav;n
SCORE c:\games\moria\moria.scr

to this:

SAVE c:\moria\moria.sav;n
SCORE c:\moria\moria.scr

If you can manage to get past the primitive cosmetics of this game you should find it to be one of the best games of all time.  Don't forget to read the manuals, MORIA.TXT and CONFIG.TXT.  Be warned that once you die in the game, your character is dead, deleted, and gone forever.  An easy way around this is to make a few backups of the file MORIA.SAV.  Then COPY (not rename) them back to MORIA.SAV if you die.  Enjoy!