Use Gentoo's package manager portage.

but I no have gentoo Linux and I am new in linux

What distro of Linux are you using? Each one could use different Kernels, different libraries, different X servers, etc...

Fedora? Slackware? Debian?

I got slackware

Slackware isn't really designed for beginners. IIRC, Slack is text-based interface by default. You need to make sure that the XOrg X Server installed. You will also need to make sure you have all the required libraries used. This may be a lengthy list, but I have no idea, because I currently use SuSE for my Linux Distro.

The easiest way to get Slackware to run Dosbox might be either to take the time to get "apt-get" setup properly in Slackware, then use a Debian package, or use an RPM Converter for Slackware. Info on the RPM converter can be found at this link: http://www.slackware.com/config/packages.php Use the Fedora rpm, as SuSE usually has special config stuff required... apt-get will handle all dependencies, whereas rpm converted to tgz will leave you blind, until you attempt to run, or until something "extra-vital" causes the tgz to fail...

Of course if you chose Slackware because you are a huge techno-geek and want to learn Linux inside out (This is why I chose slackware as my first distro) then getting all required development libraries and packages required to install the source would be good. You'll quickly learn why all these other distros have package managers that download and install everything for you automatically...

there is a website which distributes tgz files which are slackware packages. dosbox is on the website

Ah yes, just found it on http://www.linuxpackages.net for Slackware 10.0

this should work providing your version is 10.0 or later...