Worked fine for me. I transferred all my data from my old amiga HD to a new one with WinUAE. I was running Win2K however, not sure if that makes a difference.
Are you using NTFS as your main file system under windows? IIRC, it only works if windows is running NTFS for some reason.
Anyway, in the configuration window for uae, under the drives section you should be able to add it there.