When you downloaded the file in Jimbuna's message:
GWX3_SH3Commandercfg
http://www.mediafire.com/?c4oakjnc3tynwk5
You simply execute this file.
It will ask what language you want to use.
Then you get the opening screen, click next.
Following it will ask where to install it into. It should show a default location of where it expects where SH3 Commander is installed. However, if you have Windows Vista, 7 or 8 then it is not recommendable to have it inside the "Program Files" or "Program Files (x86)" folders. If you can, please de-install SH3 Commander now from the Program And Features applet in the Configuration Panel. Give SH3 Commander a folder to live in that is outside of the Program Files folders. Because the OS is going to nag you to death with UAC about any file change SH3 Commander tries to do in there.
If you are sure it is somewhere else, then use the browse button to locate the folder where SH3 Commander is installed to. Click next when done.
Finally give the go-ahead, at the "Ready to Install" overview page.
The same Program Files blues goes for the game itself too actually. If at all possible, do not install the game into Program Files. Modding wil get quite anoying, or even iffy in succeeding.