There is no problem at all installing OS3.9 on WinUAE. You can install it directly from CD, even without the need to have another version of AmigaOS running before. What you should do first is to upgrade AF to version 5.1 (WinUAE Version 0.8.22). Then follow these instructions:
http://home.t-online.de/home/thomas-rapp/os39uae.htmlBye,
Thomas