WELCOME ABOARD!
It's difficult to help without more information. What version of SH3 did you buy? Disc? Download? What patch are you trying to install?
At a guess it sounds like you have a newer version which is already fully patched. Open the game and look at the lower right corner of the loading screen. If it says 1.3, 1.4 or 1.4b then you are already fully patched and don't need anything else. This is why it won't let you install the patch.