I never played Dungeon Master. I did all the SSI "Gold Box" games (Pool of Radiance, Curse of the Azure Bonds, Eye of the Beholder, etc.), and a ton of similar games on C64 and other platforms, but never DM. Is this a stand-alone self-playable version here? Or does it require the original disks or some other convoluted install scheme?
Everything needed to play is included although minor installation is necessary (there are several different dungeons) and note the requirements given by Thorham above.
I recommend starting with the DungeonMaster dungeon as it's what started it all and was one of the most advanced games of it's time. The level design and puzzles are excellent.
I also really like meynaf's dungeon where you start out solo to rescue your girlfriend and dog.