Welcome to the boat mate.
We will need some information from you before we can help.
What are your system specs?
What operating system XP, Vista or Win 7?
What game are you loading SH4 V1.4 or V1.5?
If vista or Win 7 put the game in a separate folder on your drive, Do NOT use Program Files. Be sure to run as administrator and do not use the default SH4.gu as a short cut Find SH4.exe and use that.
After you install the game re start your system before running the game.
If you have to reinstall the game make sure you delete the SH4 folder in My Documents.
See this thread for reinstall.
http://www.subsim.com/radioroom/showthread.php?t=150996
Just shots in the dark but may be your problem.
Magic