It actually worked for me the first time I loaded it, but subsequent loads gives me that "error in game" message too.   If I keep rebooting (using a CycloDS, BTW) I can sometimes get the demo and Episode 2 to work, but usually I just get the error.

The way I set mine up was to just create one folder called "Commander Keen" and threw all the files in that one folder.   Like I said, it worked on the first boot, it's just been flaky every boot afterwords.

Guess we'll have to wait for version 1.1.   Anyone in contact with the dude who created it?  Maybe he can tell us why it's doing that.