This has been answered SO many times. Do us all a favor and do a forum search next time, OK?

1. Create a directory for your game, e.g. "C:\DOSBox stuff\MyGame".
2. Insert CD in drive.
3. Start DOSBox.
4. In DOSBox, mount up DOSBox's drive C: and D:
   
   Z:>mount C "C:\DOSBox stuff\MyGame"
   Z:>mount D "D:\" -t cdrom -ioctl
   
   (assuming that D:\ is your real CD/DVD drive)
5. Install the game from D: to C:
   
   Z:>D:
   D:>install
   
   (or "setup", or whatever the command to start the installation is called. Check your Manual/Installation Guide for MyGame for the exact command to use)
6. Configure sound, configure graphics, ...
   
   (when you configure sound and are asked about stuff like IO/IRQ/DMA/High DMA addresses, please verify that you use the same values as listed in "%ProgramFiles%\DOSBox-0.63\dosbox.conf")
7. Start game.
   
   D:>C:
   C:>dir
   C:>mygame
   
   (or "run", or "play" or whatever the command to start the game is called. Check your Manual/Installation Guide for MyGame for the exact command to use)