CTRL + F4 and then hitting enter should do it.
I wonder if petert forgot to hit Enter.
If you don't want to mess with DOSBox, you can download the game
here. It will run the game in DOSBox automatically with no CD swapping.
Actually the GOG version uses ScummVM.
If you look down the page under the game requirements it says
"This game is powered by ScummVM."
The instructions for running a CD version of Lighthouse in ScummVM are unfortunately more complicated than for most ScummVM games.
https://wiki.scummvm.org/index.php?title=DatafilesInstead of listing which files you need for Lighthouse, it appears that you need to look under SCI2/3 for what files you need from the CD's.
https://wiki.scummvm.org/index.php?title=Datafiles#All_SCI32_.28SCI2.2F3.29_gamesAll SCI32 (SCI2/3) games
Copy all files from each disk or CD to the game directory. Some games need additional work:
Games with multiple CDs - Directories that exist on multiple discs (e.g. ROBOT and VMD directories) must be merged together, not replaced.
- Rename the RESOURCE.SFX from each CD to RESSFX.00<cdnumber>, and the RESOURCE.AUD from each CD to RESAUD.00<cdnumber>, to match the corresponding RESSCI.00<cdnumber> file that exists on each CD.
- It should be safe to replace any other files from later CDs that were copied already from earlier CDs, except in Phantasmagoria 1 (see below).
GOG does all that for you.