I did this on Windows Vista, this might work on xp though, I'm not sure about anything
else.
If you downloaded the free Daggerfall version off of Bethesda's website, you know that in
order to start it you have to star DOSbox everytime you play the game.
Here is how to get around that.

First, start DOSbox
and type in "CONFIG -writeconf Daggerfall" (Without the Quotes)
Go to where you installed DOSbox and look for a file called Daggerfall
Its not any kind of file, so double click it and select Notepad.

Find the Option "fullscreen=false" and change the "false" Into
"true" This will make the game fullscreen.

Next find the option called "output=surface" and change "surface" to
"opengl". This fixes the color while running in fullscreen.

Next find the option called "cycles=auto" and change "auto" to
"max".

Now scroll all the way to the bottom where it says "# Lines in this section will be
run at startup." and type in what you usually type in to start the game in DOSbox,

If you don't know it is

mount c c:dosgames -freesize 1000
mount d c:dosgamesdfcd -t cdrom -label Daggerfall
c:
cddagger
dagger



======================
Now save and exit the file.
Make a shortcut to DOSbox and rename it Daggerfall or whatever you want to call it.
Right click the shortcut and select properties.
Now, where it says "Target" go to the end and type " -conf Daggerfall"
(No quotes and with the space in the beginning.)

The next steps are if you want the Daggerfall Icon

right click daggerfall and chose properties
click change Icon and go to the file where you installed daggerfall
highlight the skull and click OK
click apply and then OK.

Congratulations! You now have a working Daggerfall.exe!