Did you install something like the developer version?
If you extract the contents of the main "WHDLoad_usr_small.lha" file (the one you should have installed), either on your Amiga or on a PC (using something like WinRAR), you'll see it's literally only the following files:
S:WHDLoad-Startup
S:WHDLoad-Cleanup
S:WHDLoad.prefs
Docs - various documentation files in different languages
C:WHDLoadCD32
C:WHDLoad
C:RawDIC
C:Patcher
C:DIC
and some icons (.info files) for each of the above three drawers
Deleting all of those items will completely remove the program from your system. Unless you installed some incorrect version or your system is really messed up in other ways. YMMV. Did it work correctly before you installed whatever it was you installed most recently? Good luck!