I don't remember this at all! I remember monkeying around with config.sys and autoexec.bat setting env variables and loading drivers all so I could play some game I downloaded from a BBS. You had to constantly switch back from Windows to DOS depending on what application you were using. for ease of use.
By contrast, in today's world you can go on an app store (windows, steam, etc) press "download" and your application downloads, installs and for the most part, just works.