It should be in same directory you were in when you gave the command.

Do the Start => Run... => CMD.EXE thing, and type dir list.txt

The output from dir should tell you the name of the directory.

You can even do a start . from the CMD prompt to start a normal Explorer window 😀

Your My Documents folder perhaps?

ah ha.. found it 😀

Moderator edit: Converted the long list to a file attachment.

Doesn't look like a DOS game to me 🙁

Anything interesting in that E:\README.TXT file?

As far as i understood this extra-stuff on the CD works on win95, but
not on XP (maybe that can be extracted from the readme).

If it works under win31 as well you could install win31 in dosbox (if you
got a copy+license of it).
If you have win95 (maybe win98/me would work, too) you can try some
virtualizer like virtualpc, virtualbox, vmware etc. and install win9x there,
then trying to access the extra stuff on the cdrom.