I had that happen to me the first time I tried a GWX campaign as well. So I wiped everything and started over with reinstalling everything, I think I had my problem narrowed down to not rolling back SH III Commander before I unistalled SH III and it. So I made sure to manually delete everything, including the SH3 folder in My Documents, reinstalled and everything went fine.
Having to do a full reinstall of everything is sort of a drag, but as long as it works when you're done then it's worth it I figure. Other than something like that, no idea on what to tell you, sorry.
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