Hi GLD
Install it directly to your SH4 main game folder and follow the instructions.
Post #4 JSGME Installing It Correctly
You need to use this application for SH4
Large Address Aware (LAA) > Download Link < Essential Application for SH4
I would suggest you try out this mod list.
Post #2 Beginners Mod List For SH4
Anything you are not sure about just sen me a PM.
Peter