Sounds like you might some residual files left over from a previous install.
Try uninstalling GWX, SH3 and any other mods you have installed.
Then when you are sure you have everything removed.
Go through the step by step instructions listed in this link.
http://www.thegreywolves.com/support/
Make sure you use the right set-up instructions for the OS you are running be it XP or Vista.