you need to install the game on a harddrive, these are not disk images. you need to setup a harddrive on hatari and copy the installation files there and start the program as_setup.tos.
I added a virtual hard drive and copied as_setup.tos along with the four .shk files. Nothing happens when I start as_setup. I guess shk files must be unpacked first, but I have no clue about what to use.
Definitely not a simple procedure for someone who hasn't been in the Atari ST/falcon world before.