In the directory where you have DOSBox installed, there should be a file named dosbox.conf. Rename that file to dosbox.conf.original (or something else that you'll remember). Then, copy this file into that directory and rename it to dosbox.conf.
If you then open this file in a text editor (Notepad), scroll down to the bottom where you'll find the "autoexec" section. On the first line, replace "d:\oldgames\" with the directory that you have your \ARENA directory saved in. In other words, if you have your Arena files saved in C:\Program Files\dosbox\games\RPG\ARENA, then you will want to replace the "d:\oldgames\" with "C:\Program Files\dosbox\games\RPG\". (For example.)
Note that by doing this, whenever you run DOSBox, it will automatically start ARENA.BAT. If you want to play other games as well, revert back to your original dosbox.conf file. Or, you could download one of the front-end programs... that will give you a bit more intuitive point-and-click interface. (I recommend DBGL, but most of them are pretty good.)