With AE you cannot dump the entire HDD at once but only one partition at a time.
You should see each partition twice: once as a HDD and once as a folder. To dump a partition, just drag the HDD icon to the destination folder. Also right-click the HDD icon and select properties. Make a note of the values for surfaces, sectors, reserved and block size, you need to enter them exactly like this when you add the HDF to WinUAE.