With the Windows versoin of the game, that is all you have to do. The next time you start CFL Football For Windows, you should see the new season listed in the Open dialogue box.
For the DOS version, you will need to do one more step. The seasons available to the game are listed in the file CFL.DAT. Run the MANAGER.EXE program and chooe option (2) to Add or Delete seasons from CFL.DAT. Note that you can have a maximum of 9 seasons installed at any one time.