@tsaw: did you managed to copy "Workbench-311.hdf" from the CD-ROM into the working-directory of winuae (as an example location, but it has to be copied onto your pc-harddrive)?
- on that page above (harddrive setup) - "Add Hardfile..." -> Hardfile-Settings: choose the file "Workbench-311.hdf" on your pc-harddisk ( Path: ) and enter for example "DH0" (DH-ZERO without quotes) in the "Device:" field. no other changes have to be made in this window.
PS: dont give up, once you find out how it works, its easy next time