Hum,
if you have XP then don't bother using HDF...
Just create a folder in the WinUAE drawer.
Boot winuae (from your WB floppy or HD) and copy Amiga system files, etc straight into that folder.
The HDF drawer should, however, behave just like a virtual Amiga Drive - er, just like the PC folder that contains your copied Amiga files.
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If you are trying to access the HDF files from a real Amiga then you'll have to access them through a PC set-up with WINUAE (floppy, serial port etc)