Click on the "install" icon once then go to Icon -> Information in the menu - or just press Righ-Amiga and I.
In the new window there should be something like "default tool" with Installer written next to it.
Change Installer to c:\installer
Or change it to wherever you put the Installer (44.10).
--edit--
I just realised you're emulating an A600. What emulator are you using?
I don't think the 44.10 Installer will work with anything less than 3.0. If you're emulating, it might be an idea to emulate a 3.0 or 3.1 Amiga instead. That way you will get the game installed no problem.
The good thing about WHDLoad is it has certain fixes that make the older games run under 3.0 or 3.1 anyway, so you could emulate that all the time without having to change back to 2.1 to play the installed games.