Hmmm... that sounds like your computer might have the UAC in lock-down mode... Type "UAC" in the search bar in Wn10, and that should give you a "Change User Account Control" hit that you can click on. That should open this panel:
If yours is set with that "slider" all the way at the top, reduce it down one notch as that picture has it. Try to use the "Run this program as an administrator" again. You can also try it by right-clicking on the SH4.exe file and choosing "Run as administrator" near the top of the context menu... You might not need to set the administrator rights on the game anyway. This, like several other settings for the game are computer dependent.
