I also had problems intalling FOG too.
To install FOG: A) Run FOG install.exe under dosbox(I did a mount c c:\dosprog)
B) In the FOG installation program, install FOG to a c:\dosprog\fog directory. Don't let the FOG installation program install to the default c:\FOG directory. It won't work because dosbox has been mounted to c:\dosprog so dosbox doesn't recognize c:\FOG? That's my guess why some people can't install FOG.