What to do in Zangband

[kontamusse]

I found a version of Zangband on my computer, version 2.74c Windows.
I decided to try finishing it; I started a game and character is now level 40 (high-elf mage, sorcery+death).
In the (far) past, I finished Angband and other roguelikes.
I always cheat by making copies of savegames, not accepting the permadeath. Please don't judge :-)
But in Zangband, I don't understand what I should do.
When I reach the bottom of a dungeon, am I done there, or I should find some boss monster?
And is there an order in which I should do the dungeons? I see that the one closest to start city is numbered 1 in the big map (key 'M'), then going in the wilderness I see a dungeon 2, but then I see another dungeon numbered 1, so what?
And what are the missions that I see with the pipe '|' sign? Are those the missions that I should do to complete the game? Is there an order?
Sorry for the many questions.