somebody with more knowledge than me will be along shortly, but in the meantime, What OS are you using? Do you have SH4 installed in your Programs folder or is it installed in the root directory - If it isn't then it ought to be. JSGME ought to be in your main game directory as should your MODS folder, so the filepath for any mods you want to install ought to be something like C:\SH4\MODS\[name of mod]
I had a similar problem when I loaded the game on to this machine, and for the life of me I can't remember how I fixed it, but I seem to recall it was centred on my MODS directory being in the wrong place.
Anyway, hope you get it sorted soon - Once you play the modded game you'll never go back
