Howdy Mustang, welcome to Subsim!
Installing LWAMI can be somewhat tricky, especially with the latest release, 3.10, due to the fact that there is no automagic installer. First, I have some questions:
1) What operating system are you running (Win XP, Vista, 7, or other).
2) What version of LWAMI are you trying to install? LWAMI 3.10 requires the older 3.09 version to be installed beforehand, which may be causing your troubles.
3) Have you patched your stock DW game to the 1.04 patch yet?
With that information, I'd be glad to walk you through installing LWAMI. Once again, welcome aboard!