Thank god they didn't. LHA is a standard Amiga archive format that's been used for decades. It's like .zip on the PC. You don't see PC users exchanging files by sending floppy disk images, do you? :biglaugh:
It shouldn't be too hard for someone to download the WHDLoad archive, write it to a floppy disk, then read that disk back as an 880KB adf. Should even be do-able with any of the versions of UAE.
However knowing you're having this much trouble just getting WHDLoad installed, what makes you think you're not going to have even more trouble when it comes to installing games? First priority should be working out an easy file transfer solution. A1200 has IDE, any cheap IDE CD drive will work on it, you can either get a buffered interface such as the Elbox 4xEIDE or even a long ribbon cable pulled outside the case (and a separate power supply) would work. :p
Alternatively get a PCMCIA-to-CF adapter plugged into the side of your A1200 and format a CF with FAT95. then you can keep your main CF hard drive plugged in internally, and when you want to transfer files from the PC to Amiga just eject your CF from the side of the Amiga, plug it in to your PC, copy the files onto it, and plug it in to your Amiga to read them back. Cake. 
http://amigakit.leamancomputing.com/catalog/product_info.php?products_id=194
http://www.amazon.com/PCMCIA-Compact-Flash-Type-Adapter/dp/B0014C4UW2 (PCMCIA to CF adapter. I'd get the one from Mechware but his site seems to be down at the moment)
http://amigakit.leamancomputing.com/catalog/product_info.php?products_id=438
I can't find a good link for it, but if you really want to go cheap, get a cable like this:
2.5 -> 2.5 -----> 3.5
A couple inches between the first ports, and about 12-18" between the second ports. Plug one end of the 2.5" into your motherboard IDE. Plug your CF adapter or whatever you have (I'm assuming it's 2.5") into one end, set as Master. Run the long end of the cable outside the edge of your case and plug into IDE CD drive and set as Slave. A cable like this can be made for <$10.
A better solution would be something like the Squirrel SCSI, an internal slim CD, etc.... there are sooo many ways of fitting a CD drive to an A1200, LOL. 
Good news. I've made some progress! Of course, I know that lha is a standard Amiga archiver, which I first used in 1990. In those days I was downloading directly onto Amiga floppies from a dialup modem connected to BBS systems. The problem now is that my Amiga doesn't have a dialup modem and there are hardly any BBSs anymore.
I've just checked and found out that the smallest WHDload archive seems to be less than 880K, so I downloaded it. I unarchived it using Peazip for Windows, which even handles Apple DMG image files. The end result is probably larger than 880K, but I remember that I could add a directory to WinUAE. I clicked on "Hard drives", followed by "Add directory or archive". I booted up from an ADF image of an old Amiga Format magazine coverdisk and found that an icon for WHDload appeared on my Workbench screen! I clicked on it and was able to see some unarchived files. If I can add this unarchived directory, then I should be able to add the original lha archive as well. If I do this while my CF card is plugged in and has been added or mounted under WinUAE, then I should be able to copy it across. I plan to get a PCMCIA to CF adapter as well. At the end of the day, I'm looking for a solution that doesn't cost more than a CF card with all these games already installed.
I've recently been using Amiga Forever, but the results aren't as good as a real Amiga, especially when it comes to music. I turned down the screen resolution, ended some tasks and also tried playing without it being it full screen mode, but it just doesn't compare to a real Amiga. The files are all in a custom format and I can't see a way of converting them to ADF format.
There may be sooo many ways of fitting a CD ROM drive to an Amiga A1200, but I'm not as good at it as you and some other people. I can't make custom cables either. The good news is that I've recently attended events where I saw my laptop being dismantled, I even partly dismantled it myself, a fault was diagnosed, a USB socket was desoldered, then a replacement I'd bought was fitted. The bad news is that the replacement part wasn't identical and it doesn't work! I hope to use the knowledge I've gained to repair it myself after I buy another soldering iron, because I haven't soldered anything for years! After this, I think I'll try and solder a lot more things.
