Not a problem.
Based on your description I think you did not unpack the whole installation archive. Yes, it is possible to doubleclick the archive. In this case a new window appears displaying the content of the archive. In this window you can even doubleclick and run files. But such a doubleclicked file is extracted to temporary folder and it is run from there. This means if such a files want to call another file that was part of the archive, such a call fails because the called file was not extracted to the temporary folder, you know.
First of all, download the latest WHDLoad installer archive for the given game from http://whdload.de/download.html
Once the archive is downloaded please check the tutorial videos
how to unpack the archive.
Then simply enter the folder where you extracted the archive, switch the window to icon mode and run the installer (I mean doubleclick the install icon). Then follow the installer's instructions. It will ask you to insert the ADF images of the given game. Simply insert such a file into WinUAE virtual drives (press F12 to enter the WinUAE configuration) and continue with the installation.