I'll write my own guide to creating a OS39 HDF soon, just too lazy at the moment. Thomas' seems complicated because he is installing without using a 3.1 HDF; his method uses the emergency disk.
I'm assuming you have some basic WinUAE skills now, if not read the green amiga alien's guide.
Take any Workbench 3.1 HDF, even a ClassicWB HDF will do once activated using 3.1 disks (or create one from scratch with the Workbench 3.1 set as outlined in Paul's Green Alien Guide).
Since you have an ISO, install Virtual Clone drive:
http://www.slysoft.com/en/virtual-clonedrive.html. Mount the OS3.9 iso that you made from your original CD using clone drive. If you want to use your original CD, skip this step.
In WinUAE, add your Workbench 3.1.HDF as DH0: which you will boot from.
Add the OS3.9 CD/mounted-ISO as a hard drive directory in WinUAE. So the path will be to your vitual or actual CD/DVD drive, say D: for example. Thomas says make sure the backslash is removed, so it's D: NOT D:/. Not sure why but I'll go with him on this. Make sure it's volume label is called "AmigaOS3.9". The device label can be called CD0:, not that it matters. Workbench will use this hard drive directory like a CD drive.
Boot into Workbench 3.1, open up CD0:/AmigaOS39 drawer and double click install.
Follow the instructions and overwrite all files. Finally install BB1 and BB2 provided above. You will need to keep the CD0:/AmigaOS39 mounted as BB2 checks it for a code to install.