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Do I just run the game executeable or do I have to install it. I am not sure what to do there.
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Most games on Abandonia and other abandonware sites come pre-installed. So you first try running the game itself and then check for any configuration utilities if there's something wrong with sound options.
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I don't want to do something and it is going to install stuff all over my computer IF you know what I mean.
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What's ran in DOSBox - stays in DOSBox, if you get my meaning. No program you run within DOSBox will have access to any directories or drives you have not mounted.
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With DosBox do games run direct, or do they have to be installed somewhere like in old Dos.
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This depends on whether the game came pre-installed or not. If it didn't (like those original CD's you said you own), you'll need to install it yourself - which is going to work every bit the same like in regular DOS.