Since you are using the disk version of the game, you'll find the executable file in "C:\Program Files (x86) \Ubisoft \Silent Hunter Wolves of the Pacific" folder. That is the "default" install path for the game, and is also the reason you cannot get things to function correctly. Windows does not want you altering the files under the Program Files folders. The easiest thing to do is select that Ubisoft folder and then press the <Ctrl><C> key combination to Copy the whole file set. Then navigate to the C:\ root folder, use the <Ctrl><V> combination to Paste the Ubisoft folder there. It might take a few minutes for the copy, but you should end up with a path of "C:\Ubisoft \Silent Hunter Wolves of the Pacific. Inside that folder, find the JSGME.ini file and delete it. In the MODS folder, find another JSGME.ini file, and also delete it. Navigate to your Documents folder and find the SH4 folder there (C:\Users \UserName \Documents \SH4) and delete that.Now you can go back into the Ubisoft \Silent Hunter... folder, and re-activate any mods you were wanting to use, and Windows will not "see" that as a security risk anymore, and all should be well with the world. Do not play the version left in the Program Files folder, only your new copy (unless you are familiar with the use of MultiSH4).
Any current short-cut on your desktop should also be deleted. You then can right-click on an empty spot on your desktop. Choose the "New ->" menu item. Then choose "Shortcut" near the top of the next menu. You'll get a flashing cursor inside of a text box pop-up window. Click on the "Browse..." button to the right of that. That will bring up a folders & files dialog. Navigate to your new folder "C:\Ubisoft \Silent Hunter 4..." and choose the SH4.exe file. Click on the "OK" button, then the "Next" button. It will then show "sh4.exe" highlighted in a text box, and you can type whatever you want to call it, like "SH4", or "Silent Hunter 4", or "Bob's Muffler Shop" or whatever. Click the "Finish" button, and your short-cut to start your new copy of the game is on your desktop.
In theory, everything should be right with the world now... I probably should have first asked you which version of the disk game you have? Do you have "Gold Edition" on the DVD case and disk? You could also right-click on the SH4.exe file, and choose "Properties" from the bottom of the context menu, and then click on the "Details" tab. About the middle of that dialog will be the SH4.exe version number, such as 1,5,0,0, but it might also be 1,3,x,x, with the "x" representing various digits. Let us know which version you have, to be sure of any further recommendations.
