Copying them or downloading/saving them into the SH3 Steam Apps folder might have failed because it is in Program Files. Likely UAC prevented them getting there, or stay there just temporarily until after the next reboot/logon. It's a security precaution of Vista/W7/W8.
Luckily the GWX bin files and installer does not have to be in the SH3 folder when executed to install. But you must execute the GWX installer as an administrator.
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