Not in the right dir in dosbox and/or wrong mount.
When you input
dir /w at your dosbox prompt you must see a listing with dragon.exe in it.
Read the stickies to know how to set up dosbox correctly.
[Edit]
This is what I meant:
If needed run install(try first without running install):
Graphics: VGA 256 colors
Sound: Roland MT-32 or LAPC-1
input
dragon
and tadaaaa
Runs flawless on a default dosbox 0.72 config.