I was also getting no response at all trying to run sh4.exe on Windows 10. What worked for me was first lowering my native desktop resolution down from '2560 x 1440' to '1024 x 768'. At this point I was then able to start the game > get into SH4 Options/Graphics settings and raise the game resolution (surprisingly 2560x1440 res WAS supported) > save the change and exit > then raise my desktop resolution back up again > and now restart the game (this time successfully) in its new higher resolution.
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