In the main folder of the game there's a file called
keeper.cfg. Open it with Notepad (Win98) or Editor (WinXP) and change in this line:
INSTALL_PATH=E:\KEEPER\
the path of the CD drive to the path of the folder where Dungeon Keeper is in / installed. For example:
INSTALL_PATH=C:\GAMES\DKEEPER (if it's the folder where you copied the game over)
Then the problem should be gone.
