Maybe telling you to install the files wasn't clear enough...
You dont run skick! Just install it. WHDLoad will use it, or rather I think it only uses the RTB files. This is *all* you need to do... Please do ONLY these steps. If you go off and decide to try running various programs without knowing why you're running them, you may not get the expected result. You only need to have these programs on your drive.
1) Install SKick, and its .RTB files
2) Install ROM images to DEVS:Kickstarts as Skick docs say.
3) Install WHDLoad
4) Put State Of The Art on a floppy
5) Get the State Of The Art installer from
www.whdload.de6) Un-lha the installer, run the Install file in it
7) Insert the State Of The Art disk when asked

Go to the dir where you installed SOTA and click its icon
9) Watch demo
10) Get laid due to girlfriend impressed with your geek skills
Dont do anything else. Don't try running random parts of Skick or WHDLoad. JUST install them. You just need the files in place.
I don't guarantee step 10, but if you do the other steps, you will be able to watch State Of The Art.