I think you're mistaking SH4 v1.5 for TMO v2.5. There is no SH4 2.5 - 1.5 is the final version of the game. The version that shows on the screen should be 1.5.
As for the installation, if you used JSGME can you post a picture of the JSGME screen. If you installed TMO directly can you describe what the folder you installed looks like?
Did you unzip the TMO file before installing? A compressed and zipped file cannot be read by the game.
These are just some initial questions. It's impossible to give qualified answers without more information.
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