As you will find in the readme for pretty much every WHDLoad install that requires a Kickstart...
The kickstart image must be located in the directory "Devs:Kickstarts"
and must be named "kick34005.A500". The image can be extracted from a
A500 with tools like 'GrabKick' or similar which can be found on aminet.
If the image is of wrong version or altered in any way WHDLoad will
quit with a appropriate requester.
Additionally the file "kick34005.A500.RTB" must be installed in the
same directory as the kickstart image. It can be found in the archive
"util/boot/skick346.lha" on aminet.
Stuff that needs a 3.1 image will be similar. See the respective readme.