I found some issue with keyboard input, it seems I can't control the thrust of my F-14. I do some reserch and find out that the problem is due to keybord lay-out. So for all user that uses keyboard different from the US lay-out this is the solution.

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Edited from Steamcomunity forum post:

pimpao122
Fleet Defender: The F-14 Tomcat Simulation
28 nov 2014

OK, better solution. Go to the Steam folder where the game is [..\GOG Games\Fleet Defender Gold] edit the file "dosbox_f14.conf" you will find there. Near the end of the file there is a line reading "keyboardlayout=auto". Change it to "keyboardlayout=us" and save the file.

Problem solved...

Pedro
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Thanks Pedro!