First things first:
1. Do you have a correctly installed Workbench on your hard disk?
2. Do you have the correct version of the Installer command in your C drawer?
3. Do you have the lha command in your C drawer?
Now for the WHDLoad install. You need the file WHDLoad_usr.lha on
www.whdload.de This file needs to be extracted on your Amiga itself because PC filesystems aren't fully compatible with Amiga filesystems. This won't fit on one 720Kb floppy. So you need split it. I used
Sploiner. This download from Aminet contains executables for MS-DOS and AmigaOS. So split the file on Windows, transfer it in parts to your Amiga's hard disk and join the parts on your Amiga again. Then extract the joined file using lha. Now the Install icon in the extracted drawer should work fine.
Now a little explanation on how WHDLoad works. You don't run WHDLoad directly but use a slave file that uses disk images or game files and the WHDLoad executable to run the game. There are readily installed game slaves with the disk images available on the net so you don't need the original floppies of the games. I won't mention the sites but Google is your friend.
Some games require rom images to run; it's all found in the readme files that come with the slave install if that's needed. WHDLoad also gives a detailed error message when the files are missing.
For WHDLoad to run nicely you usually need more than the 2Mb ChipRAM the A1200 comes with. Preferably you have 030 with at least 8Mb.
You'll soon find out that transferring files using floppies it a pain; especially when your need to split them all the time. Most WHDLoad pre-installed games exceed 720Kb. So look for another way of transferrign files. A PCMCIA network solution would be nice for this for example.