Bitdefender will stop SH4 installing properly
 

Just to confirm what many may already know, Bitdefender anti-virus will probably prevent SH4 (and possibly others) from installing properly, based on my experience installing the game from Steam

It specifically blocks the installer from writing to the 'documents' folder. Unfortunately, the game appears to install without a hitch and it ran, but the SH4 folder was missing from documents, so no prefs or games could be saved.

To whitelist SH4 in Bitdefender (after a failed install) open the CP, go to 'protection' and under 'Safe files' click 'Application access'. Slide the radio button next to SH4 to blue and uninstall/reinstall SH4.

HTH.