As far as I know the only way to have more than one working installation of the game on the same PC is to use MultiSH3, which allows you to designate separate folders in My Documents to store the separate career files, savegames, etc., created by each installation.
The last time I remember it being discussed, I think someone mentioned that multiple installations of the game were not possible when using Steam... but I'm not sure as I've never used Steam so I'm not familiar with exactly how it works.
At any rate, if you are not using MultiSH3, more than likely you only have one folder in My Documents (typically called "SH3") for both installations of the game to use. The first installation that you fired up would've created it automatically. The problem is that your other installation is probably also looking at that folder for the info it needs to run, and since files saved to that folder for a GWX installation will not work with the stock game (and vice versa), it is causing problems.
