Besides making certain you are not installing into a Windows-controlled drive location as KaleunMarco says - which makes future modding next to impossible - you also want to set your SH4.exe "Properties" to properly work with your video card and display. Depending upon your set-up, it could possibly involve several of the settings being changed:
Another thing that could be a problem, is when you were installing the disk version of the game, that you neglected to install the DirectX v9.0c and Codecs from the disk. If you failed to do that, anything 3D in the game will fail.
Try downloading it from Microsoft if that's what your issue is.
