You don't put the shortcuts *IN* dosbox.conf. You make a copy of your dosbox.conf, and call it something like AdventuresOfZelda.conf. Next you right-click on your desktop, select New => Shortcut, and browse to your dosbox.exe.
When you have selected dosbox.exe, you have to edit the path so it reads something like
C:\Program Files\DOSBox-0.72\dosbox.exe -conf "C:\Path\to\your\AdventuresOfZelda.conf"
Give the shortcut a name that matches the config-file, e.g. Adventures of Zelda, and you are done.
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