In an attempt to get by the problem, I found a link to a keys.cfg file to use and copied it to the indicated directory.  Then when I ran the program, I got a "Kernel not loaded" error.  Figuring that this might be an invalid install, I uninstalled everything and downloaded again.  This time it all worked as expected.

When I donwloaded the first time, my wireless router crashed and I got an error message.  I rebooted the router and hit OK in the prompt assuming that the download would continue where it left off.  Wrong assumption.  The second download took considerably longer than the first, so I'm sure my first download was probably corrupted.

I downloaded the windows installer program for 0.3 and ran it without any errors.  When I click on the "The Urquan Masters" icon on the desktop, a command window pops up, data is printed, a second window pops up and then both disappear.  Scanning the forum I learned that I could run the uqm.exe file from the source directory from a command prompt.  When I did this, this is the result:

D:\Program Files\The Ur-Quan Masters>uqm
The Ur-Quan Masters v0.3 <compiled Sep 5 2003 03:55:46)
This software comes with ABSOLUTELY NO WARRANTY;
for details see the included 'COPYING' file.

Saved games are kept in D:\Documents and Settings/Mark/Application Data/uqm/save/.
Initializing SDL (pure)
SDL driver used: directx
SDL initialized.
Initiaiizing Screen.
Set the resolution to: 640x480x24
Initializing SDL audio subsystem.
SDL audio subsystem initialized.
Initializing MixSDL mixer.
MixSDL using driver 'SDL_audio'
MixSDL Mixer Initialized.
   opened dsound at 44100 Hz 16 bit stereo, 4096 samples audio buffer
Initializing sound decoders.
Sound decoders initialized.
0 joysticks were found.
Error: Could not copy default key config to user config dir: No such file or directory.

The APPDATA environment variable was set as follows:

APPDATA=D:\Documents and Settings\Mark\Application Data

Any ideas on how I can get this thing to run?