Happened to me and to alot of ppl before;
backup docs/SH4/data and uninstall game, clean registry as instructed in this thread
http://www.subsim.com/radioroom/showthread.php?t=133290
, and perform a fresh reinstall. May I assume you have SH4
ver 1.5?
If you got SH4 first and then uboot off steam, the game installs itself twice and files become corrupted I think. Try to get U boot as a disc (= SH4 Gold) and spare yourself trouble.