This means that SheepShaver cannot find a working startup disk. Either something is wrong with the startup (install) disk image or the path to the image file is not entered correctly in preferences. (Physical CDs cannot be used in OSX 10.11.)
Not sure which files you got from the torrent site. There are no 'official' SheepShaver downloads and no 'official' instructions. The torrent you used certainly is not. Downloads and guide from our site come closest to being 'official'.
For us to able to judge what you did, post here the content of your preferences file:
Open Terminal (in /Applications/Utilities/) and type at the prompt
followed by a return. The file will open in your default text editor.
Select and copy all content and paste it here in your reply.