You need to set up a hard disk under UAE (either an image, a shared directory or a real harddisk thats spare), then put workbench on it, then install the game onto the harddisk.
Much of this is pre-configured under Amiga Forever 6, or if you're using UAE as a companion to a real Amiga most of it's just like the real thing. You can also use 'Amiga in a box' - though this ends up with a rather over the top amount of patches that slows things down.
There's plenty of howto guides on the internet, just do a Google on it ;-)
