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[The Fifth Horseman]

Do those have to be installed in any special way?

Nope, at least not in one any more special than the one they were normally installed on DOS computers.

However, another game I tried out said it required an installation.

Now I don't know how things fully work with Dosbox outside of the initial tutorial, but what do you do when you have a game that normally was installed from a CD? (but now downloaded from this site).

The game is most likely referring to sound setup.
Have a look at other COM, EXE and BAT files in the game directory. One of them should run the setup utility so you can configure sound (and possibly some other things).

Per default DOSBox emulates Sound Blaster 16, IRQ 7, DMA 1, Adress 220, HDMA 3. If there is no option for Sound Blaster 16, choose the highest Sound Blaster version the game supports (keeping in mind that the Pro series succeeded the originals).