You're getting close. The Install disk adf file must be in DF0: The rest can be in any virtual floppy drive. F12 brings up the Winuae control menu which should let you swap floppies. You should also check other settings in Winuae and make sure that it has the proper kickstart rom image and enough memory etc.
If you have adf images of the Amiga software, you can copy them to your Amiga and write them to Amiga floppies. Winuae comes with a command line utility called transdisk to do this but there are more user friendly programs to do this as well. I use transdisk so I can't give you any specific recommendations about the alternatives. You need a working system to do this. This is where owning more than 1 Amiga comes in handy. If your Amiga has a CD rom, you can burn a CD with the ADF images and use transdisk to write them from the CD to Amiga floppies.
In any case, don't give up, it looks like you are getting closer to your goal.
