One problem I've had with molebox on my machine was that if I followed a link to a moleboxed .EXE on a site (such as this forum, actually) and simply clicked the link and chose the 'run' option, the program would always blow up and not be able to find any of its media.
If I choose 'save' and then run the saved file instead, all was fine.
If I choose 'save' and then run the saved file instead, all was fine.