[XenonSurf]

@Roberto,
Where did you install your SH3 game? Check please if the files or the location is protected. Chose all game files > Properties and see if they are write-protected, they should NOT.
If in doubt, re-install the whole game in a dedicated folder *different* from the setup program, e.g. in C:\SH3. And update it to 1.4 as for instructions before installing any mods.

Then, in your pic above I see 'Koenigsberg'. That's not the default campaign start, AFAIK. Do you use SH3 Commander? In that case you must read the big manual of GWX (yes, sorry!) and do as they say: download/use the special files for SH3 Commander, otherwise you are guaranteed a crash...