If you're trying to run any Doom II or Final Doom WAD with Ultimate Doom executable, I think you need to use a command-line parameter with it to run a custom WAD, since an EXE of Doom (1) by default looks for a doom.wad file. It might be also that the version of the EXE you have is too low and doesn't support Doom II and Final Doom.
Look
here for a list of all EXE versions which were released.
I could send you a Ms-Dos EXE of Final Doom (for both Doom II and Final Doom), however I don't think it's legal since all Doom series are sold by now and not available for free download.