I assume you have work in DOS before. DOSBox is fairly similar.
Each time you start DOSBox, in the DOSBox command prompt window, first enter the command "mount c c:\", press ENTER. Then enter the command "c:" and press ENTER. After this point just use it as you would with a real DOS prompt. For lemmings for example, you would probably proceed with the commands "cd c:\lemmings" and then "lemmings".