WHDLoad is the main application that sits on the system and allows non-HD installable games to work. You don't need to actually run the WHDLoad program itself. Once installed you then need to run the WHDLoad installers for the games you wish to install to your HD. These will use the copy of WHDLoad you now have installed.
And once you have installed a game it will normally have an icon to launch the game, found in the drawer/folder you installed the game in.