You misunderstood. lha.run is self extracting archive.
Copy it to ram: then in shell:
1.> cd ram:
1.> protect lha.run +e
1.> lha.run
1.> copy lha_68k c:lha
After that, download
util/arc/lha_68k.lha.
Then:
1.> lha x lha_68k.lha ram:
1.> copy ram:lha_68k c:lha
(or copy lha_68020 or lha_68040, depending on your cpu)