WHDLoad is a software package that can simulate a low-end software and hardware environment on a heavily expanded Amiga - many games don't work properly with such a configuration. It also installs these games to hard disk.
Coders write a "slave" for a specific game which then interfaces with the WHDLoad executable and the game's data files or disk images on the hard disk. Ta da, you're running old games.
Generally, WHDLoad installers and slaves are written to only work with original game files/disks. ADFs are usually pirated/cracked copies and won't work. IPFs are a new disk image format from the Software Preservation Society that fully recreates the disks structure - copy protection and all. These can be used with WHDLoad to install games.
Basically, you'll want the WHDLoad package, a specific game's install, and IPF images to install a game to your emulated hard drive. Register it as well. It's one of the best purchases you can make.