First, I hope you don't mean DOS, but rather Windows cmd or batch.
You can certainly write a script that will run your DIR command once per file being sought.
But what you most likely want instead is to search once and print the path of each file found. For this you can use PowerShell's FindChildItem
or the improved one posted here: http://windows-powershell-scripts.blogspot.in/2009/08/unix-linux-find-equivalent-in.html
It will be something like:
Find-ChildItem -Name "firstfile.txt|secondfile.txt|..."
Another approach is to install msys
or cygwin
or another Linux tools environment for Windows and use the Linux find
command.