Which OS you using?
If it's XP then just put your CD in your first CD-Rom Drive and it should work straight away.
You must have UAEscsi.device selected before you click OK to set WinUAE running, if you forget and change it after you've already start WinUAE it won't work even if your reset WinUAE. You'll have to resart WinUAE from scratch.
I don't know if this is the same for other OS's, but it should be.
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