When I click on the OK button in the new game screen, it just comes back to the title screen. :/
I'm having the same problem. For me it doesn't always happen. It feels or seems to me that dosbox doesn't sync with MOO all the time or something. It's quite annoying though.
I installed this years ago, so I'm before the GOG desktop installer thingy.
I actually have both MOO and MOO2 on floppies, bought originally in the 1990's, but I lack the required drive to play anymore.