SH4 in the 'modern' Windows can be very frustrating. I have no issues in a machine with Windows XP and Windows 7 dual-boot. None whatsoever. I have 3 HD in the machine, the game is in the D: drive, in a "Games" folder I created. I moved my Windows 7 User folders to the E: drive, and the Save folder shows up in the "E:\Users \UserName \Documents \SH4" folder like it should. Using the Windows 10 machines, I will have trouble with a similar set-up in that the Save folder does NOT go where it is told to. In this case, Windows 10 will put the Save folder in the root of the drive where MultiSH4 is running. That can be difficult to remember when clearing the Save folder. Most folks don't move their User documents though, and you would not normally experience that.
However, what has happened on my Windows 10 machines the last few updates is that I have had to alter the Properties page for the SH4.exe file (again) on them. I now have to tick just about every box. Navigate into your game folder, find and select the SH4.exe file, right-click on it, and choose "Properties" from the bottom of the resultant context menu. Click on the "Compatibility" tab at the top of that Properties window, and go down the list:
that 2nd little dialog Window is from clicking the "Change high DPI settings" button. On the one machine, I have to click the top box there for "Program DPI" also, and make certain it says for the program to be in charge when it is started. The video card and display resolution dictate what you need to do, but you do have to experiment with these settings.
That all assumes that you have the game installed in a non-protected folder, one that you created yourself. The game's default install routine will put it in "C:\Program Files (x86)", and it being there, will have Windows interfering with all modding attempts. Another point of importance is to be certain that the LAA or NTCore 4Gig Patch (or whatever you use) has actually set the bits in the SH4.exe header to make Windows aware of SH4's ability to address a flat memory space. Open LAA a 2nd time after you activate the SH4.exe, and make certain the tickbox for LAA is indeed set. If it is not, then you might have to set the file's attributes (the "General" tab of the "Properties" dialog) to clear the "Read-only" tickbox to make it write-enabled. Otherwise, FotRSU will not function properly, and no matter what you put on top of it afterwards, it will still not function properly.
If you want verbosity reigning supreme, consult the "Install Notes For the Various Versions of SH4 in Windows.pdf" file in the FotRSU "Support" folder. For a shorter version without the install details, read "ActivatingFOTRSU.pdf". Most of that does still apply, and can be used with most mods.