I did a quick search, and I didn't see any thing to suggest (it was a
VERY quick search) that GWX 3 won't work with the Steam version.
However I did find this thread, post #4 has a video on installing GWX on the Steam version of SH3.
http://www.subsim.com/radioroom/show...ight=gwx+steam
I didn't watch it, as I just arrived at my pc...
Hopefully it will show what you need...
Only other thing I can think of, did you install Steam in C:\Program Files\Steam ?
Vista and up will interfere with modifications to the files...
If the video doesn't help, and you did install to C:\Program Files\Steam, there is a way to install SH3 to another location without re-installing steam...
Barracuda