DOS Games made for DOS require an emulator to run on Windows. Use DOSBox or a frontend like D-Fend Reloaded and read this guide to play DOS games on your Windows PC.
Return to Zork included feelies:
A sweepstakes letter. Some packages also included a sweepstakes letter written in French and/or German.
The envelope for the sweepstakes letter.
The 966 GUE edition of the Encyclopedia Frobozzica, combined with the game manual.