DF2: is (usually) the name for a second external diskdrive. The (main) internal diskdrive is always called DF0: the first external drive (or second internal drive with big-box Amiga's) is called DF1:
I think that either the install script is looking for a disk in drive DF2: , or it's looking for a disk which is called DF2. In WinUAE, you can enable drives DF0: to DF3:. Try putting a disk image in the virtual DF2: drive and see what happens.
