I have done all of that, but it is still greyed out. I cannot leave DOSBox open all the time, cause it is really stingy about that issue, so I'm kinda stuck banging my head at the moment.
Edit 1: Okay, I got it to work. I kept right clicking inside the selection screen by accident and thus it wouldn't come up properly. Thanks for the help! I did end up moving the entire folder to my C:\Games folder and making sure it was not set to read-only before it would work.