I would do exactly one mission on vanilla. That way you can see what an awesome piece of work they did on GWX 3.0
Installing GWX is pretty straightforward, but it's quite a big download. I believe Jimbuna (you can find his posts all over this forum) has a link to GWX in his signature. Or else check the 'downloads' link above this forum. Be sure to download the latest patch for Sh3 too (1.4b) and
Also be sure to get JSGME (although I believe it's already part of the GWX download, not sure though). It's a really handy program that reduces activating mods to a simple drag and drop.
*edit* Since I'm bored, I did the searching for you:
http://www.gamefront.com/files/user/JimbunaGWX2
You can choose there; mulit-part download or torrent.
When you're gonna download SH3 Commander (you should, everybody uses it

) you need these config files for it to work with GWX 3.0:
http://www.subsim.com/radioroom/down...o=file&id=1421