Do you load WHDLoad game? Is it WHDLoad in C: also key file in L: or S: and required kickstart images in DEVS:Kickstarts? Try to run wHDLoad with parameters data=path_to_your_game/data and slave=filename.slave with PRELOAD parameter from CLI and see what happend. Also you can try to download WHDLoadCD32 and rename it to WHDLoad if you use CD32. Maybe Gibs or someone other help you better because I never own real CD32 and for this console I only made example ISO image using APC74's polish language tutorial and MakeCD to prepare ISO Image under WinUAE. Please download and look at: http://olesio.eu/4konsolex.iso
- this image contain two games but in correct way you can also do CD image with MakeCD for your CD32. And ofcourse if you use CD32 kind: WHDLoadCD32 - you do not need key file, but ofcourse this kind of WHDLoad version will work only on real CD32 or emulated mode under WinUAE. Good luck.