I'm running Mas OS 9 through a SheepShaver Wrapper (from here: http://www.columbia.edu/~em36/sheepshaverwrapper.html) on an iMac running Sierra (10.21.6). Major thanks to emendelson for helping me set it up, by the way!
I'm still figuring out how it works and trying out different things.

I've downloaded an iso for an old game called Opening Night from here: http://macintoshgarden.org/games/opening-night

I had no trouble mounting it and getting the installer to run. It works fine all the way up to the part where it asks me to choose a folder to install the software. I tried creating a new folder on the Desktop, on Mac OS 9 and Unix and every time I get the same message: "Sorry but a disc error (-44) has occurred". I'm guessing I'm doing something wrong again. Perhaps this game doesn't work with SheepShaver? Is there anyone out there who's tried it?

Error -44 usually means that the disk you want to save to is write-protected or locked.

It's hard to imagine what's causing this. I just downloaded the game, added it to the SheepShaver Wrapper via the Preferences; restarted the SheepShaver Wrapper; installed the game to a folder inside "Macintosh HD"; restarted the SheepShaver Wrapper, and it's working perfectly.

As Ronald says, error -44 is a "disk is write-protected" error. Either you are trying to write to a CD-ROM image file instead of the Macintosh HD image file or you have done something to write-protect your Macintosh HD image file. If you did something like that, then start over from the beginning.

Whatever you do, don't try to install the game into the "Unix" folder, by the way.

That's good to know, thanks. Is there a way I can find out whether my Macintosh HD file is write-protected?

Yes, but it takes a long time to explain. It's easiest for all of us if you delete everything and start over.