That is, something that automatically sets up a DOSBox install. I noticed that Arena is free on the Elder Scrolls website, so I thought someone might have taken the time to package it like the DaggerfallSetup install.

Or should I just set up a DOSBox install myself?

Not for the free floppy version of Arena, no.

If you don't want to mess around with DOSBox you could buy The Elder Scrolls Anthology, which include all 5 main TES games and both Arena and Daggerfall comes with modern installers.