IIRC WHDLoad is installed in SYS:C or SYS:S drawer, or both. You have called WHDLoad in shell so it may as well be in SYS:C.
To function, WHDLoad requires kickstart rom file in a folder aptly named in the SYS Devs folder - SYS Devs/Kickstarts. The kickstart roms need to be the right version and named according to WHDLoad spec. An online guide may help with that.
To run a game in WHDLoad it needs to be somewhere in your system directory accessable to the program. IE: HDD location SYS:Games/Gamename or DH1:Games/Gamename etc.
You can run a game from shell using the WHDLoad command line syntax but a better idea is to have the game folder somewhere accessible in Workbench with nice icons.
If you download an install from WHDLoad.de that's to manually create a slave install from an original disk in your machine. Downloading a pre-installed game(s) from WHDownload.com or the Retroplay packs is the other option, copying them to folders on your hard drive.