How are you trying to run it? We need to know exactly what you're doing before we can do more than guess what you might be doing wrong.
If you are installing from floppies or CD-ROM, you should open DOSBox first and mount both your virtual C: drive and the drive containing the install files. Then, install the game from within DOSBox.
If the game is stored in a ZIP/RAR/etc. archive, unzip it into a subdirectory of whatever directory you usually mount as your virtual C: drive in DOSBox. Then, configure and run the game from within DOSBox.