UAEDOS -- Getting it to work
Compared to installing the Linux version, the DOS version is easier to get started. You don't have to compile it, and it doesn't rely on other libraries to link to it.
First, make sure you read the README, README.DOS, and the FAQ that come with the archive. They're much more complete than they used to be. It covers things like using transdisk and transrom on your Amiga to get the files to your PC. Later versions of UAE for DOS have some programs to help get you started in using serial transfers (adfi.bas).
The easiest way to get UAE working is to take it in steps.
Step one: Download and un-pack the archive.
Use PKZIP -d to unzip the archive into a directory where you want it. If you have trouble with this step, don't go any further. Ask the person reading this to you to install UAE for you.
Step two: Try running the emulator without a kickstart ROM.
You will need a disk image that doesn't need Kickstart to load it. The RSI mega demo is good for this. I have a link to this demo on my UAE page. Note that this file requires GZIP to unpack it. First you rename it to rsi1_adf.gz. Then you use GZIP -d. You're left with rsi1_adf. In older versions of UAE, you would have to rename that file to df0.adf. In later versions of UAE, you can use -0 filename to use any filename as df0. So you would start UAE with the RSI mega demo disk by typing in (without the quotes) "uae -0 rsi1_adf". More recent versions of UAE for DOS have a built-in configuration menu that while buggy, is more a help than a hinderance.
Here's a link to the RSI mega demo, disk one: rsi1_adf_gz.bin. It's 712791 bytes long.
Step three: Try running the emulator with a kickstart ROM.
Well, if you've made it to this point, you've already gotten UAE working. Now you probably want to try out a Kickstart ROM. I'm not going to give you one, so don't bother asking. If you don't have an Amiga to read the ROM from, you can't legally run UAE with a Kickstart ROM. That hasn't stopped some people from putting the ROMs on-line, however. Try doing a net-search if you really want to get a Kickstart ROM, and don't want to bother with transferring it yourself. Once you've got it (make sure to read the README about which types of Kickstarts will work with UAE) try renaming it to kick.rom, and starting UAE without a disk to see the familiar hand holding a disk (Kickstart 1.3) or a disk going into a drive (2.0+).
Step Four: Setting up the OS.
This used to be one of the hard parts of setting up UAE, but it's been made considerably easier since UAE 0.6.3. As of 0.6.3, hardfiles and mounted paths are bootable automatically (except if you're using Kickstart 1.3 and a hardfile). So all you need to do is start UAE with disk images of the system software (easiest if you have 2.0+ and put the install disk in df0:) and perform the install just as if you were doing it on an Amiga. If you run DOSUAE under windows 95, you can use the mounted paths to set up the operating system (it NEEDS long file names!). Otherwise you need a hardfile. I can't help out much with hardfiles, because I run UAE under Linux using the Unix File System.
Final Thoughts:
If you run UAE under Windows 95 to use the long file names, do yourself a favor and install Linux. Running UAE under Linux is about 20% faster, and the file system is much faster. Further, there will be less swapping because the Linux OS is more efficient than Win95 at using RAM.