Welcome aboard!
No, your game is already patched; just install GWX;
I would suggest, however, you do the naval academy in unmodified SHIII first, as it is much more difficult in GWX. I would also suggest you run a few missions or a couple of patrols with SHIII to get your feet wet. Also I would make a back up copy of your fresh install of SHIII and store it on a DVD or another area of your hard drive; this will make it easy to reinstall the game if you screw up.
And/or make a backup of your SHIII/GWX 3.0 Gold install.
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Irish1958
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