You should have had GWX3-1.bin to -7.bin, and the GWX3.exe file all in the same location on your PC. So that's eight files in total, click on the .exe to begin the install.
It needs to be on a clean version of the game patched to 1.4, if you've already installed in the past then unintstall, delete data out of my docs relating to SH3 and run a reg cleaner - I use ccleaner to no ill effect and it's free. Reinstall the game and then install GWX as above.
If it's already a clean and patched install and you used all eight files I'm at a loss, I'd be prepared to rinse and repeat as appropriate.
One last thing, specs, including OS may help.
Nope, that wasn't the last thing - Some GWX download locations haven't been great for the last few years, get them from Jimbuna's signature link to be sure they're ok.
Nor was that. If you're using Vista/Win 7 make sure your game isn't installed in the default C:\Program Files, instead create a new 'games' folder so it'd be more like C:\Games.