Hi,
As well as Thomas's comments above, what you could try is to LHA the entire OS3.9 CD (less the video/audio bits, which you don't need) from within WinUAE.
LHA will also preserve the protection bits, etc, and will avoid transferring troublesome filenames like the "AUX" device file that cause problems with Windows due to its DOS legacy!
So... LHA up the OS3.9 CD, transfer the LHA file to any CF card, then extract to Amiga's HD, create an AmigaOS3.9 assign, and do the install. You might have to fudge it slightly but it does work. This is how I got OS3.9 on to my CD-less A3000.
- Ali