Install the game, and patch it to 1.4b.
If you bought it recently, it may already be patched to 1.4b
(the version appears lower right when the game is launched and the menu visible). Recent versions do not have the Starforce protection which sucks (check the post that explains how to remove it unless you have a version without it).
Play with it a little. Then, install SH3 Commander. I like to use it to make waves seasonal, and random crew transferts. It also gives you nicer patrol reports especially if you turn on the real ship names
After having played for a while, and tried missions, when you feel at home in your sub and have tried the type II, type VII and type IX, you will be ready for a big mod like GWX 3.0 Gold.
SH3 + patch 1.4b + GWX 3 Gold + SH3 Commander + patch for SH3 Commander so it works with GWX 3 Gold (just come here and ask for help on how to do if it's not clear).
This will make your SH3 a brand new game, far better. Since the game will be harder than the first version, it is easier if you first learn to hunt, attack before you get into GWX 3.0 Gold.
Especially : do not remain alone. Come here. Ask questions. Even stupid ones. Do not remain alone in your game if you have trouble. There are many mods, many options, several big mods, and most of us have installed mods + tweaked our game to change stuff inside of it, tweaking the game further (ex. I got both SH3 and SH4 and on each I have many mods + stuff I did change over them ; SH3 is really the best of anyway so that's the one I play all the time).
I have 3 installed SH3 : one base one, one with GWX 3.0 + changes, and I am trying the Live SH3 mod those days. You'll come to that later.