It's quite possible to compile DOSBox with all the libraries, except standard Windows libraries, linked into the executable. Look at the sdl-static project on Google Code, for example, for static versions of SDL & Co.
Also you can turn off some things that require external libraries while linking DOSBox, if you don't need those capabilities. For example networking and screenshot capturing.
Another thing that might be interesting to attempt would be to include the game's files and the config file *inside* a custom DOSBox executable, so that there is only a single EXE file that doesn't unpack to more than one file either, and that doesn't need any installation at all - kind of like what people did on the old Mac OS. But there are a number of problems with this:
1.) GPL. IANAL, but as I understand the GPL I think this amounts to linking, so that you'd have to GPL your game if you want to distribute the resulting single executable.
2.) If you want to support disk writing, i.e. saved games, you'll need at least one external file for that, and you'll probably have to do some major hacking to support it. Maybe use an embedded disk image and do some sort of "difference image", saving only the changed blocks to a new file.
3.) A config file might not work equally well on every system, as regards such things as the best video output= option.
