It isn't that confusing, look where you installed srb2. Then put the wad file(s) in the place were you have srb2. Then it should work.
Maybe you think that there is a wad folder when you install srb2 or a folder inside where you have installed srb2 called srb2, which is not the case.
Maybe you think that there is a wad folder when you install srb2 or a folder inside where you have installed srb2 called srb2, which is not the case.