With the U1-6 CD and DOSBox, it is rather simple. Just copy the Ultima1 (or 2, 3, 4, 5, 6, or all of them) folder directly to where you want them installed. You may (ok probably will,) need to then remove the Read Only attribute from the folder & all the included files. Then just run them in DOSBox normally. No need to mess around with the hacked together & extremely buggy setup program that comes with the CD. Just a couple of notes about individual games:
Ultima1 - You need to set the machine type to Tandy. Otherwise strange things happen to your text readout during play.
Ultima2 - You will need to install the Galactic patch (I also advise installing the other patches as well, but not the graphics patch.) I don't have access to my main system, so I do not have the direct URL available (won't have access for another 2-3 weeks.) However, a search should turn them up with a bit of work. Also, if you aren't a pureist (if you don't insist, like I do, that the speaker sounds are as they should be,) you can install the Graphics patch as well, but you will need to up the cycles to 2 to 3 times normal.
Ultima3 - Basically the same as Ultima2 where the graphics patch is concerned (it's the only one available, packaged together with the music patch.) But be prepared to up the cycles more like 5 times normal speed.
Ultima4 - nothing of note. The patch works just great, and I advise getting it.
Ultima5 - ditto from Ultima4.
Ultima6 - If you set the cycles low enough (so that the speaker sounds are normal,) then no need for any patching. However, I advise installing the AdLib patch anyways (fixes the timing issue on faster machines.) Also, you will have to run the Install program from within DOSBox first. This sets the dislplay, audio, & control functions. The first time, you can go ahead and say start a new character if you want (it really makes no difference, as there is no character present yet.) You can run it again in the future to start all over again if you want. Stay away from the "speaker patch" as this has never worked right for me (on 6 different machines, with 3 different game sources.) In all cases, it slows things down way to much. Also, according to what I read, MT-32 is a total waste, as it is buggy, and it is nothing more than re-mapping the AdLib files into a MT-32 compatable MIDI. Better just to stick with AdLib.
I think that covers it all. Good luck & enjoy. IMHO, Ultima is still the best FRPG series created.