It isn't that complicated if you read the documentation carefully that comes with the download package. It describes which users can run dosemu with which privileges. That will enable root and user roger to do anything with dosemu and keeps any other users on the systems out. Next step is that you create the DOS disk image from which you will boot your virtual DOS machine. You can also use the Windows 95 rescue disk.
Most steps are self-explaining.
On my own computer I have Windows 95 on the first hard disk partition and setup-hdimage recognized this correctly. In this case re-read the documentation very carefully and if this doesn't help ask your questions in one of the dosemu mailing lists that are mentioned in the documentation. You'll see the blue welcome screen of the installation program, press Enter to continue. This is important because the installer can't effect the autoexec.bat automatically - you must do it yourself at a later step. Hit Esc to continue.