What exactly are you doing?
Are you trying to launch a game with the cloanto launcher, or just running winuae alone?, or are you booting the KX-light autoboot feature, that boots directly into amiga os?
For me the cloanto launcher works perfectly with games and the demos included. By the way i usually use winuae alone without the launcher.
Tell me the exact steps you are using, but the default configs from cloanto should work for a start.