In DXWnd, File -> Import -> Browse to your DXWnd installation and go into the exports folder. You'll find a very large list of games, Prince of Persia - Warrior Within (GOG) should be one of them. Import it.

Right click on your newly imported listing, and click "modify." In the "Path" box browse to your Warrior Within installation, and choose the pop2.exe file.

In the "Launch" box choose the PrinceOfPersia.exe file.

Customize anything you wish and click OK. Run the game and it should work.