Ah, the game is not meant to replace the ROM in the emulator, there are just two executables (for 40 and 80 columns).
You can try to search for an image of an original Atari ROM and OS disk. Hatari will load it and will behave as the original computer with the Atari OS. Usually I configure Hatare so that to have a shared directory on my OS seen as a hard disk inside the emulated computer. The game files are just executables and can be run with a double click. Try also the other games, I remember spending quite some time developing The Queen's Footsteps on the Atari.