Just put the jsgme.exe in the game folder
I have installed SH5 in F:\Games\SH5
So JSGME for me is in there F:\Games\SH5\JSGME.exe
Edit:
I have no idea how the game installer specifies the game path but in your case the game might be installed in <drive>:\Program Files\Ubisoft\Silent Hunter 5\ ... or similar
If this doesnt help, make a windows search for ' SH5.exe '
This will show you where the game essentially is installed and where the JSMGE.EXE belongs to
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