Okay, after messing around a bit with several tools, I finally got it working.
What you need:
- Daemon Tools 4.0
- wh40kwa-mini MiniImage from GCW (the 20,xx MB Blindwrite image)
- SR7.Stop 1.0 (get it at CDMediaworld)
First, start up DT4; leave all emulation options DISABLED.
Mount the mentioned Blindwrite MiniImage witg DT4.
Execute SR7.Stop and click 'Hide'; Leave SR7.Stop OPEN while you're playing!
Now execute the W40kWA.exe from the DOW:WA directory.
Thats how it works for me (Complete game, not only skirmish or so

)