@ Fester
Well I don't really know about running such on winUAE (genuine A1200 owner here) but you can try the following ...
Make sure the iGame drawer is on your hard drive, not the just the contents or it won't work. I think from what I've read, the program actively seeks the iGame folder [PROGDIR:] to store stuff in and it will throw up such an error thaty you are experiencing.
Good luck! :-)