Assuming you have both EXE files in the directory c:\mydir, you should be able to add that dir to the path variable, like so:
set path=c:\mydir
Then whenever you try to run sb, DOSBox will first check the current directory, then any directories in the path.
You can put multiple directories in the path like so:
set path=c:\mydir1;c:\mydir2;c:\mydir3
You may want to check to see if there is a default path defined in DOSBox. In fact, Z:\ is probably the default path so that you can run the DOSBox built-in utils from anyhwere by default. If this is true, then you should be able to do something like:
set path=%path%;c:\mydir1;c\mydir2;c:\mydir3
This will add directories to the end of the current path string.
You can see the current setting by running:
set path
or:
echo %path%