@Jose
I have Shadow of the Beast installed......... I think you are missing something called "The Patcher" which I think is supposed to be part of the WHDLoad packagae......................but if you own the game like me, but cant install it................just download a fully WHDLoad installed version of the game and then uncompress the archive and place the files where they belong and now you have a full version of the game.already fixed for WHDLoad.
