It's called the command line, or "cmd", not DOS window. Yes, a command line window does open with MegaGlest, but you aren't able to input commands to it.
Instead, Open "Run" (or just type in the search bar if Vista/7) and type "cmd". Use the command:
cd "C:/Directory/MegaGlest/is/in"
glest_game.exe --verbose
Obviously, replace "C:/Directory/MegaGlest/is/in" with the path to the MegaGlest executable, remember the quotes *are* necessary to keep spaces from breaking the command (cd = change directory). As well, glest_game.exe should be the name of the executable, if there's spaces in the name, surround it by quotes. --verbose makes it output... a lot.