User blog comment:Nehpys/Setting Up - The Older Scrolls I: Arena/@comment-188.238.194.136-20190924194832/@comment-26709586-20190925192425

It says "Windows can't make shortcut here" so then I put the shortcut on desktop instead and then I pull it on the Arena installation folder.

This seems to be the root of your problem, so I'll try and approach here:

Where did you make your Arena folders? The "Windows Cannot Make a Shortcut Here" error is extremely rare, because the folders that error affects are so limited:

https://support.microsoft.com/en-us/help/179513/error-message-windows-cannot-create-a-shortcut-here

Personally, keep it in C:. Currently, this is my folder:. This is where my _Manual Startup file is, and the guts further in \ARENA.

Also, (unless it's been updated) the normal DOSBox installation folder is at. I dunno where you're getting  from.