It sounds like it messed up your icon types, or is mis-reading them, or mis-interpreting what actions should be performed when clicking on an icon of a certain type (i.e., changed "project" icons into "tool" icons.) It's trying to run the slave file directly instead of piping it all into your C:WHDLoad executable.
Sorry, never used Classic Workbench either, IMHO it makes your system too "un-Amiga-like", and is going to make what's probably a pretty easy to resolve situation much harder, unless someone is experienced with it.
What do you see if you open the properties of one of the game icons? What happens if you try to run the game from the command line? Can you confirm that WHDLoad is still present in your C: directory?