Hello
You must not use 3.0 with 4.0!
Download 3.1 1 2 and 3, put them in any folder or just the desk top and then extract just number 1 (2 and 3 will extract at the same time automatically) and you will end up with one folder containing all of the necessary files names 3.1 Final.
Place this into jsgme and install this folder in the usual way.
After this, download and install 4.0 after the 3.1 as above with jsgme.
Only use the vista one if you have vista but be aware that there may be some CTD problems currently for vista at the loading screen or after starting a campaign.
This is being looked into currently by hansolo, myself and some other helpful people here.
