You don't need an ADF to install OS3.9.
To check your WinUAE installation do the following:
1. Start WinUAE and click on OK. A requester complaining about missing kick.rom file should appear twice then WinUAE should quit. (Well, do not call your kickstart file "kick.rom" because with this name it is loaded automatically.)
2. Start WinUAE, go to the ROM tab, click on "..." near Kickstart and choose your kickstart file. Then click Ok. Now you should see the animation asking for a floppy disk.
If you get the illegal operation here, probably your kickstart file is not good. AFAIK the rom from an A3000 ist not a good choice. Try to get one from an A500.
Once you see the disk animation, the emulator is running correctly and you can start installing OS3.9.
Bye,
Thomas