What version of WinBoard are you using? (There are a lot of versions out there, and I know the steps for some of the earlier versions will differ if you have a current version.)
It sounds like you DO have a recent version and it sounds like your steps are fine. Houdini is a UCI engine, so be sure to check the UCI box.
I have houdini (the free version) installed on windows 7 64 bit, and winboard (xboard for windows).
I tried loading houdini into xboard, by "loading game engine" and puting houdini exe path, but it doesn't seem to work, i see no errors but black (houdini) doesn't make any move.
So how to do it properly? Any step by step guide?