GWX 3 comes with its own installer. Just run the exe and point it in the direction of your game directory.
After you have run it, look in the directory for JSGME, GWX also installs that for you, along with a nice selection of additional mods to play with.
And don't forget to get hold of the 'GWX3 GOLD Config Files for SH3 Commander' file. You'll need that if you are running GWX and Commander together.
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