Steam version is native port (not DOSBox).
Unfortunately Keen was from an era of computing before downloadable patches were a norm. Instead, a fully patched version of the game would be sent in the mail. The old version had to be uninstalled and deleted and the updated copy installed in its place. As the update is already the full game, it would be illegal to distribute it. Luckily, Several dedicated fans have made homebrewed patches to update (or downgrade if you want) every official keen game. These patches edit the files to make the changes, no warez used! The original discussion thread for them can be found here.
A launcher for the entire Keen series can be found here (runs in DOSBox). For a modified version of this same launcher that also supports this game (for people whom don't have the native Steam version), try the following:
REM All episodes must be in the same folder contrary
REM to the original launcher this one was based on.
ECHO ======================= COMMANDER KEEN COLLECTION =========================
ECHO Invasion of the Vortices (1-3):
ECHO 1 - Commander Keen 1 Marooned On Mars (1990)(Apogee Software)
ECHO 2 - Commander Keen 2 The Earth Explodes (1990)(Apogee Software)
ECHO 3 - Commander Keen 3 Keen Must Die (1990)(Apogee Software)
ECHO Goodbye, Galaxy! (4-6):
ECHO 4 - Commander Keen 4 Secret Of The Oracle (1991)(Apogee Software Ltd)
ECHO 5 - Commander Keen 5 The Armageddon Machine (1991)(Apogee Software Ltd)
ECHO 6 - Commander Keen 6 Aliens Ate My Baby Sitter (1991)(Formgen)
ECHO Other (The Lost Episode):
ECHO 7 - Commander Keen Dreams (1991)(Softdisk Publishing)
CHOICE /c1234567q/n Choose a number (Press Q to Quit):
IF ERRORLEVEL 8 GOTO EXIT
IF ERRORLEVEL 7 GOTO KEEN7
IF ERRORLEVEL 6 GOTO KEEN6
IF ERRORLEVEL 5 GOTO KEEN5
IF ERRORLEVEL 4 GOTO KEEN4
IF ERRORLEVEL 3 GOTO KEEN3
IF ERRORLEVEL 2 GOTO KEEN2
IF ERRORLEVEL 1 GOTO KEEN1
ECHO Starting Commander Keen 1...
ECHO Starting Commander Keen 2...
ECHO Starting Commander Keen 3...
ECHO Starting Commander Keen 4...
ECHO Starting Commander Keen 5...
ECHO Starting Commander Keen 6...
ECHO Starting Commander Keen Dreams…
CKPatch is essentially a tool needed to load some mods (such as total conversions, or even just simple hacking) into the Keen engine. It does so by "patching" the engine in memory, hence it's name. For simple single script patches for Keen Dreams, look here.
A reverse engineered source port is available. Alternatively the game's source is available and you could build you own version.