Everything interesting is in the shortcut target.
Target: "D:\GOG Games\Tex Murphy - Under a Killing Moon\DOSBOX\DOSBox.exe" -conf "..\dosboxTex3.conf" -conf "..\dosboxTex3_single.conf" -noconsole -c "exit"
(D:\GOG Games\ is where I install my GOG games)
Most single player shortcuts to GOG games using DOSBox look like that. As for Under a Killing Moon: when I played through it a few years ago I did so in part on Linux, you shouldn't have any problems. Oh and if you want to tweak the performance: don't look a the developer logo, I made that error back then. I probably wasted close to an hour until I noticed the Access Software logo in UAKM is video that's encoded with studder, so it will never look smooth. On the other hand performance tweaking is probably not necessary at all.
