Foucter: I didn't see anywhere that said exactly how to do it. My game can't seem to find it, plus the path space they give you isn't long enough for the normal: C:\Program Files\GOG.com\Might and Magic 6 pack\Might and Magic 1 - Book 1\Roster.dta if you know what I mean!
If I remember correctly, you just need to put the roster.dta file into your MM2 game directory, and then when you launch MM2 through DOSBox, it will just be in the base C: drive. So you hit "T" to transfer your characters, and then just type "C:\roster.dta" and it should find them.
This is because GOG have configured the games to use their own directories as the virtual C: drive when you run them through DOSBox. So that whole long path to the game in Windows simply becomes the C: drive as far as DOSBox is concerned.
There was an old thread that discusses this in more detail:
http://www.gog.com/en/forum/might_and_magic_series/mm1_to_mm2_character_transfer_help