I'm assuming you are on OS X as host system? Can you at least start SheepShaver so you can get to the Preferences editor under Preferences in the File menu?
What is in the volumes list on the first tab?
You should be able to run SheepShaver with only the rom file (called Mac OS ROM) and install CD image in the volumes list.
If that works, you can create a new hard disk file and install on it.
You can try to follow our guide here:
http://www.emaculation.com/doku.php/she ... os_x_setup
If you follow the naming suggestions there, there's no chance to mix things up again.
If you are not on OS X, we have guides for Windows and Linux too, they can be found here: