@espegael

Not without streaming it from a PC using something like Moonlight. Unfortunately, 'Dungeon Keeper 2' was a Windows only game, unlike its predecessor, which also had a DOS and Mac release.

You just need to set the C drive to your game folder and then start the game by runing the .exe, in the LBA2 case the game also needs the CD mounted - the .DAT file is the CD index image.
If only the EXE is enough, just copy the game to the pc-data folder and then the [autoexec] section should be

[autoexec] @echo off mount c /home/pi/RetroPie/roms/pc-data/DungeonKeeper c: cls WHATEVER.EXE exit

Just replace the folder where you copied the PC game and the name of the .exe file and you should be fine.