I wasn't able to pinpoint the exact file missing, but I downloaded the alpha Zelda Classic. When I try to start the game (after the "choose your character"-screen), I get a pop-up box which says a file is missing. As I said, I have no idea what the filename is, but I still hope you can help me...
Missing file at start?
I think I know what you are talking about, this thread should help you.
That's why it's generally a good idea to have all your files in the same folder. And 1st.qst should come with the support archive, which you should have downloaded too. Even with my 28K modem at home, it was well worth it.