If you are uninstalling/reinstalling the game prior to the GWX installation attempt, run some type of registry cleaner after the uninstall. Hopefully this will remove any leftover entries in the registry from the old installation and then you get a *really* clean new installation. You may also want to delete whatever folder was created in your Documents folder so that the new installation can recreate a fresh version of that. You won't be able to play any of your old saves/careers once you install GWX over top of the game anyway.
Is the game installation located in a Programs directory? Win7 can be very protective about files/folders located in the Programs directories, as a way of preventing malware etc. from making unwanted changes to programs you already have installed, and/or preventing tech-challenged users from going in there and screwing up or deleting stuff that they shouldn't be messing with.
Good advice for playing SH3 on Win7 is to install the game in another location on your system, a folder that you've created somewhere outside the Program directories. It makes modding the game a whole lot easier.
OTOH if you're playing through Steam and have already got Steam in the Programs folder with a whole bunch of other stuff installed there, it's not like just reinstalling SH3 somewhere else is a quick fix.
Do you have UAC turned off? (User Account Control)
If it's turned on it may also interfere with attempts to modify files located in the Programs folders.