Starting a game

[elpch]

How do you start a game once you downloaded it

[The Fifth Horseman]

That question is about as generic and vague as they get.
Unless you describe your problem in more detail (which game is it and what have you tried doing to run it), all I can do is point you to the beginner's guide to DOSBox (http://www.abandonia.com/vbullet/showthread.php?t=14406).