Welcome to the boat mate.
A few tips about running the game with Win7.
Put the game in a different folder than Program files, any other folder.
Make one for games or something like that. Win7 doesn't like modifying things that are in the Program files folder.
Run as administrator.
Do not use the default SH4.gu to launch the game, find SH4.exe and use that.
When you install make sure you install the Direct X that came with the game,
there are files in that which the game needs and aren't found in later versions of Direct X.
I think Armistead or someone else had a similar problem but I don't remember the fix.
You may simply have a bad save?
Magic