Hmm... I just tried it myself and it works fine. I know that if it's not pointing to the right place in "Start in", it will just do exactly what you said. Here's what I've got down, just to double-check:
Target:
"C:\Program Files\GOG.com\Redneck Rampage Collection\DOSBOX\dosbox.exe" -conf dosboxRR.conf -c "exit"
Start In:
"C:\Program Files\GOG.com\Redneck Rampage Collection\Redneck Rampage\"
The other thing you could try is making a batch file instead and having Steam point to that. Then in the batch file you'd have something like:
@echo off
cd\Program Files\GOG.com\Redneck Rampage Collection\Redneck Rampage
"C:\Program Files\GOG.com\Redneck Rampage Collection\DOSBOX\dosbox.exe" -conf dosboxRR.conf -c "exit"
exit
Hopefully, that works out for ya.