Thank you so much to everyone's repeated and patient replies to the "Error DKK directory not found". I've just finally solved this problem on my computer and thank you to everyone who kept giving answers. For some reason I just couldn't get my mind around the first answers until I tried Mike's. So for all the others out there who are completely Dos-Dumb like myself, this is what I found helpful.
If you are using Dos-Box then when you "mount" your drive, the folder it is in is not included in the path. (Thanks horseman, I get it now

) So if you just have your game in the C: drive like I do, your computer will say C:\dkk\SAVE, but your config file needs to say C:\SAVE
If you are trying to transfer your game and characters from Champions, I found the easiest way to do that was to drag and drop the entire cok folder into the dkk folder. When you start dkk select load game. When it asks you to choose from champions or death knights, choose champions and select the letter of your last champion save. Your champion party should appear, save the game in death knights. Then you are safe to move your cok folder back to where it was to start with.