MM4 and MM5 were designed so that they could be played as separate games, but if they were both present on the same drive, they would interact to form another small game. This was done by having a series of locked dungeons in both MM4 and MM5 whose keys were located in the other game. As you would expect, these dungeons are intended to be tackled by a pretty advanced party, and are not all that easy.When you left Vertigo, you found a pyramid outside, but you were told "The moons are not aligned" when you tried to enter. On completing MM4 by killing Lord Xeen, the "moons became aligned", and your party could travel to the Darkside, so starting on MM5. After that, your party could travel between the Clouds and the Darkside whenever you wanted them to, by means of the various portals that you found.
It is this interactive game of MM4+MM5 that is known as World of Xeen.