You need to set up JSGME in SH3 Commander by downloading from:
http://www.users.on.net/~jscones/sof...cts-jsgme.html
Once you have JSGME in SH3 Commander it will allow you to install other mods in there such as the SH3 Cmdr files for GWX, my Warning Orders mod and Sailor Steve's awesome Loading Screens mod.