All you need to do is:
1. download UFO from abandonia.com if you have not already
2. extract it
3. run "ufo defense.exe"
This is windows version, so it should work with your system without dosbox.
What are you doing anyway on abandonware site if you don't know what DOS is? DOS is "Disk Operating System" developed my Microsoft and used on most PCs until Win 95 came out.
BTW Windows 2000 is probably the worst system for running games written for DOS.
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