I had this problem too. For anyone that had it, redownload your zip and make sure you copy the /Data/ folder from the zip into the archive. The data.mpq is not an original Diablo file, but the mod itself. I'm not sure how I missed it but seems it's quite a common mistake
I recently installed it and i didn't have to copy anything manually. Just run the mod isntaller and when it asks for the data mpq path, give it the path to the CD / virtual image drive. Then you just run the mod exe and it works like a charm. Very simple installation and takes like 1 minute.