If you're getting errors about Kickstart images, the solution is to RTFM

. Any game that requires a Kickstart image will have this in the readme:
The game requires an installed A1200 or A4000 Kickstart 3.1 image.
The kickstart image must be located in the directory "Devs:Kickstarts" and
must be named "kick40068.A1200" (resp kick40068.A4000).
The image can be extracted from a A1200 (resp A4000) 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
an appropriate requester.
Additionally the file "kick40068.A1200.RTB" (resp "kick40068.A4000.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.
...or something equivalent for Kickstart 1.3.
If you're getting an "Execute Command..." requester, you're probably doing something wrong. An installed WHDLoad game directory typically contains:
-Game.slave
-Game.info (which will appear as simply an icon called "Game" on the Workbench
-Either a directory called data or files called Disk.1, Disk.2, etc.
-A Readme and Readme.info
All you have to do is double-click "Game" and it should start right up.
Post the output from a 'dir' listing of one of your game directories so we can see what's going on. I agree with others that something's going wrong in the extraction process.
Also possible, but incredibly unlikely, is that Game.info is configured badly. It should be a Project type icon (not Tool), with default tool WHDLoad and one of the tooltypes should be SLAVE=Game.slave. If you have OS3.9, you can change it to a Project icon directly from the Icon Information window, otherwise load it into SYS:Tools/IconEdit and change it from the menu there.