I'm not familiar with SH4 Blue v1.5. Is it maybe Gold? Or just an older version of SH4 v1.5 with Uboat Missions? In the meantime, like Bleiente pointed out, read through THEBERBSTER's page there. What folder did you install the game to, and did you install the DirectX v9.0c that came with the game installer? That is needed, since the newer versions of DirectX do not included some of the library files that the older 3D games call for...
