I agree with Dogfish

You need to create a folder directly on your C Drive, and install the game there. Don't forget to install the DX9c that came with the game. IT NEEDS IT!!!! You will not overwrite DX11 that came with Windows7. It will only install the files that the game needs. Also be sure your Desktop SH4 icon points to the SH4exe, and not gu. What you also could do is right click on the SH4 icon, click properties, and open the compatabilities tab. Click the "Run as administrator" box. No need to run in XP compatability mode. An extra step you could try is to d/l the 4gig patch. I don't have the link at the moment, but you'll find it in the d/l section. This little utility allows SH4, and other games access more memory in 64bit OS. This has cured many random CTDs for alot of folks, myself included

Hope this helps you out!