The Whdload link is an Amiga App - windows won't know what to do with it
it is an Lha archive. LHA being an Amiga Compressed file format.
UAE (or WinUAE) is the emulator app that allows your windose to emulate a "real Amiga"
So basically you need to set up Amiga forever /UAE so that it will run Workbench.
Then you need to open the Archived files in your emulated Amiga (there are utilities which allow you to do this). There may be some Applications in Amiga Forever which you can install... I'm not sure, I don't use it.