i think if you have it set up properly it brings you to a command prompt and launches the game from there. haven't used it in a while, but check the wiki and give it another shot. it's a little tougher to set up than other software. have you tried it with a game though? put the game in its own folder, and make sure you make a dosbox config file and a keymap file for that game, then run a script that launches dosbox with those files as arguments.
again, just going from (sloppy) memory here.