I'd also second the "no, you're not dumb" comment. I consider myself a fairly competent computer user, and I can remember at least a few times where I've tried to get something going in DOS Box, run into problems for ten minutes, flicked through all the help files I could find, and finally said "forget this, I have better things I could be doing with my time right now".
So no, you're not alone. I'm sure its not as difficult as it seems as I've seen some people use DOSBOX in very clever ways to make a single shortcut launch into a menu of classic DOS games.