WinUAE does not remember settings automatically. You always have to go to the Configurations page and click on Save after you changed something. Also it only loads the default configuration. If you gave it another name you have to load it manually everytime you run WinUAE.
So what you have to do now, go to the ROMs page and select your ROM file again. Then go to the Harddrives page, click on Add Directory Or Archive and on Select Directory, then select the directory where the WB 3.1 files are in (not the .ROM file, but the C, Devs, Libs etc. directories).
After that go to the Configurations page, enter Default into the name field and click on Save. Only now click on Start.
From now on WinUAE will automatically load the config because it's called "Default". But whenever you change something, you have to go to the Configurations page and click on Save, otherwise the change will be removed when you quit WinUAE and run it again.