Dune II has an installer script on one of the floppies - when you have the hard drive installed and you boot the machine into Workbench, put the first floppy in. An icon will show up on the Workbench screen, just open that and run the installer. It's been literally 10 years since I've done that though so the installer could be on a different disk - some games put it on the last disk. Most games that are designed to be installed use non-standard installers, some of which require a basic knowledge of file and path naming conventions, as already pointed out, the Workbench manual is great for that.
Unfortunately you don't get all that many newcomers to the Amiga, so you won't find all that many beginners' guides around, but if you're stuck, just ask on here and someone's bound to help ya!
Welcome along :-)