Also, hopefully, said Steam game folder is not part of your \Program Files or \Program Files (x86) protected system directories ("directories" is what we call them on real computers, not "folders"

)
Set up Steam to put new games in a different directory. Then you'll have to reinstall SH4 (you DO have the U-Boat Missions version, don't you?) in a root directory. Mine is C:\Steam games.
Should be end of problem unless the mod isn't installed correctly. Keep us posted and we'll get you running!