If you did the "default..." install, you ended up in the "Program Files (x86) directory in Windows, and Windows "locks" the folder to prevent user alteration... not too cool if you're running a game. About the best thing to do is
consult Post #3 in
THEBERBSTER's SH4 <>Tutorials... thread. When you get things running OK via the Steam online manager, then read the rest of THEBERBSTERS thread there. ~EVERYTHING~ you would need to know about SH4 is to be found linked to in that thread... well, most everything...
You will also want to read
Rockin Robbins SH4CMS thread, and begin to familiarize yourself with its operation. I'm not sure if it can be used with the "new and improved" version of Steam though, so either tread carefully, or maybe RR mentions it in the thread, or just ask Rockin Robbins after you've read through that...