Dosbox is a command prompt.

Open dosbox.conf with a text editor, that's the default configuration file used. There are a bunch of frontends that allow you to configure DOSbox from within a GUI and whatnot, but I manage just fine without them, using batch files instead.

Also, remember that in the DOSBox config file is the IPX emulation(wich by default is turned off) for some multiplayer action!
Look for
ipx=false
under the [ipx] tag (duh...)
set it to ipx=true, then run ipxnet startserver to host a game and ipxnet connect [server's IP] to connect to that virtual IPX network
My best games of Master of Orion took place thanks to that little tip!

Hrm, if some games use DosBox, can us Linux folks replace the GOG DoxBox with the Linux version? I hope my question makes sense. :)

What I do is installing the game using the GOG.com installer with wine. Then I copy the game directory to somewhere on /home and deinstall the game. Then I run the Linux native version of Dosbox to play the game.
I do take a peek at how GOG.com has modified the dosbox.conf and sometimes I adjust my own dosbox.conf if the game runs sloppy.