Ok. I have managed to run that RISC OS game.
If you're interested to try The Dungeon and other RISC OS games, here is the step by step guide to do it:
1. Install Arculator 2.2 (it will only emulate Acorn Archimedes games, to emulate later games you will need a separate StrongARM/RPC emulator)
2. Set it to emulate A5000, 4 MB, with FPU and RISC OS 3.11
3. Pick a preformatted HDF image. I think there is a `!HForm` utility on the 2nd application support floppy so you can format your own HDF and maybe there is a console command somewhere, if you press F12 and type `Help Commands`
4. Now grab
http://arcarc.nl/archive/Games/D/Dungeon, The/
5. That is not the usual zip, but ArcFS archive!
To unpack it we need to install the Self Extracting SparkFS application
http://www.riscos.com/ftp_space/310/index.htm
BTW, usual ZIP files created on RISC OS could too carry type metadata,
so unpacking them with your linux/windows ZIP software will damage the content.
6. Either copy sparkfs and the dungeon's zip to hostfs/ folder inside Arculator or make an ISO with them, which requies first setting `Podule 0` to HCCS Ultimate CD-ROM (SCSI could not work out of the box).
7. Now run the emulator, and inside Apps, pick !Configure. It will open something akin to Windows Control Panel. Inside it pick Discs and add an IDE hard disc. Reboot (the emulator, silly!).
8. Now open CD-ROM or HostFS device. In addition open your HDD. Click sparkfs archive with MIDDLE button. That will open context menu. Pick File -> Set type and enter `&FF8` (without quotes). That will set the type to executable. Alternatively you can open console and type `Obey <EXECUTABLE NAME>` or `Run <EXECUTABLE NAME>` (I dont remember which one).
9. Finally click the spark FS, it will open a window with icon, which you drag to where you want to install this archiver/unarchive app. Just like you install DMG Apps on OSX.
10. Launch the unpacked app. It will create an icon on the task bar.
11. Drag The Dungeon ZIP to this icon.
12. It will ask where to extract the game. Pick HDD. HostFS doesn't preserve the file types.
13. Finally go the unpacked game's folder and just left click.
14. Enjoy!
Easy? Hopefully now you understand why some games are obscure.