When you say correct path for rom, what are you actually putting in the game path? You can't use Amiga ADF files for WHDLoad, they instead are a game exe file to launch it, and a .slave file which contains all of the data from the original game disks.

Take a look at KGWHD WHDLoad game packs as you can just put those onto the Amiga HDD and they will work with WHDLoad without having to do anything else.

http://kg.whdownload.com/kgwhd/