Download the AIAB.exe or zip. It is around 4.1Mb
Next you need WinUAE. Download the latest verson at the homepage http://www.winuae.net/
Download InstallWinUAE0822R3.exe or the zip archive.
Now you need the amiga Bios and a workbench 3.0/3.1 adf disk image. You can get that at http://home.nikocity.de/j_g_s/blackbox/AMIGAWB.HTML
NB: you only need the file called workbench v3.x The rest of the adf (disks) aren't necessary.
And finally you need the Amiga OS kickstart files which you can get at http://www.emu-nation.de/tools.htm
Basically these files relate to what Amiga OS you are operating:
KICK13.ROM = Amiga A500
KICK20.ROM = Amiga A500+/A600
KICK30.ROM = Amiga A1200/A4000
KICK31.ROM = CD32
WinUAE will let you choose which one of these you want to use. So if a game isn't working in one, or needs AGA (ie A1200) then you can just switch them with the click of a button.
Next follow this installation guide http://aiab.emuunlim.com/installing/index.html
Hopefully after all this you should be up and running
I had to find the "illegal" files but I didn't have to write a guide to use WinUAE (complicated stuff