I used to play this back in the early/mid 90s... it came on a CD with about 3 or 4 other games (I think it had Test Drive III and some pool game). Anyway, I completely forgot the name of the game but it's a series of 2-D dungeon-like levels, and depending on which level you are on, you have to move your guy differently. Like, the first couple of levels you go back/forth, up/down, the next few levels you have to go diagonally, etc. I think you need to get dynamite to win either each level or to win the game (maybe both). It had Soundblaster music and effects.
Hope someone knows what I'm talking about!!
A nagging fairy that whispers in my ear and pulls my hair believes you are looking for Freakin' Funky Furballs.