Maybe the directory is read-only? In Windows, right-click on the game directory, uncheck the read-only attribute, click OK, then apply changes to all files in subdirectories. Then try the game in dosbox.
edit: If you have the game in c:\temp\champions I would:
1) rename it to champs (or anything less than 8 characters)
2) mount c c:\temp in dosbox to have the game files in their own directory, not the c: root (in DOS the root is for system files such as config.sys)
3) in dosbox, c:, cd champs, then start the game with its executable