okay, find the folder where you installed dosbox. then open the CONF file with notepad or other .txt editer.
then go right to the bottom and find [autoexec]. under that type:
mount c c:\arenaC:arena
where
c c:\arena is the drive and folder of arena
where
C: is the drive that you installed arena
so if you have instelled it under anther folder: eg dosgames on D: you will have:
mount d d:\dosgames\arenad:arena
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you can also set up the cycles automatically in here, find the [cpu] about half way down. a good setting is:
core=normalcycles=21000cycleup=100cycledown=100
this means that the cylces are at 21000
and can be adjusted up or down by 100.
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If you do this then you will have to edit dosbox again if you want to play another game with it, but for now to play arena just save the CONF file and run dosbox.