When you run dosbox, you'll see an intro screen. Follow some instructions there and be sure that you read about the 'mount' command. You'll also need to remember where you placed your games.

If that's not enough, then you can check the readme (but to just run the game, that isn't really necessary).. or, search these forums for 'mount' and you'll probably find some examples. Basically, you can take this reply as verification that the process does require a couple steps from you -- It's normal that things aren't working right away and you've got to do a couple things manually. Fortunately though, you don't need to install dos.

Or, just drop the games main executable onto the DosBOX shortcut(on your desktop preferably), and it'll automatically mount the folder that the game is in as C: and run it.😀

Since you mention "downloading", you may want to know that you already have to have the games you want to play - DOSBox or this forum are not for downloading any games. It's just about playing them.