.HDF files are UAE hardfile images. They are probably designed to autoboot. To find which program file to run look for an s/startup-sequence file and pop it up in MultiView or EditPad (or whatever text viewer/editor you choose).
Icons are contained in .info files and you can go to sys:tools/iconedit to create an icon for your file. Note, however, that programs launched from Workbench are treated differently than programs launched from startup-sequence so you may have to make a project icon and copy the startup-sequence file to the root directory. Make a PROJECT icon for it and when you leave IconEdit click the icon once and select Info from the File menu. From here type "IconX" into default tool and save the file.
I hope that gets you started.
