If you are trying to run it from Amibench, then WHDLoad goes into the C: directory. We have already installed JST there so you can use that to load WHDLoad Slaves too.
I will try Alien Breed directly from the Games Menu. One of our team has it running already:
https://www.youtube.com/watch?v=WMFnsYT9KRAYou can add KS ROMs under the ROM section on on the left hand side menu.