You have to run most everything "legacy" as an administrator, especially if you have Windows 10. After you download the file, and then extract it if necessary, right-click on its name and choose "Run as administrator", which is usually toward the top of the list. See if that helps... If it doesn't help, try reading CapnScurvy's "
Windows10; Large Address Aware; SH4 Install" thread, and see if that doesn't help...
