Chubster and everyone else. Sounds like you have your game icon hooked up to gu.exe. That's game update, by the way. There never were and will never be any game updates to get. Furthermore, gu.exe is fatally flawed and destroys your ability to reload save game files.
Right-click your Wolves of the Pacific desktop icon. Choose properties.
Now under target: you'll see that it ends with gu.exe. Change that as the dialog box above to read SH4.exe. Click OK. Done! Over 99% of your problems are instantly gone.
I've had problems with reloading saves only when it's my own fault.