Tuddley, just found the problem.
Make sure you name the SHIII folder in My Documents to the same name as your original game. Mine was SH3 and I added -Vanilla to it. Now the new install of Commander for GWX to run SHIII can't find that one which is good. You must run your 2nd install once in order for Cmndr to find it. Do the Aaval Accademy Training and you should be ok to go. After that you'll have another SH3 folder to rename to what you name your second install.
I'm slow with all this but learning.