Steam does by default put the games below its install, so SH4 might be in "C:\Program Files (x86) \Steam \SteamApps \common \Wolves of the Pacific", which is what your one JSGME image seems to show. You will have to move the install to be able to apply mods. Refer to
Moving a Steam Installation and Games, which Steam in their infinite wisdom decided to change the procedure again... Give a shout if you need more help.
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