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				Hmm is that really only way to get save game-thing to work? No alternatives?
			
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 Well I found this tutorial on how to get dosbox running correctly:
http://vogons.zetafleet.com/viewtopic.php?t=8933
So basicaly you need to place all your dos games in your 
C:\Users\your-user-name\DOSgames -folder and mount it as a c: drive for DOSBox.
If you have UAC on and have your games outside of "C:\Users\your-user-name\" folder you get into trouble with UAC preventing Dosbox from writing data.