As your HDD has been formatted I assume that there were no residual files leftover from your previous install of SH3 or in 'My Documents'.
The process that you laid out is correct.
The first thing I would do, is use the MD5 Mate that is available from the GWX website to check the MD5 hash's for the files you have dowloaded. This little proggy makes sure that your d/l is not corrupted.
JSGME is included when you install GWX (inside the program folder).
Just to clarify, you did add the specific Cmdr cfg files to the SH3Cmdr program folder as directed in the readme?
Make sure the
6 parts to GWX are all located together in 1 folder. (click on my sig to check these) 1 x exe & 5 x bin files.
Before installing GWX, run SH3 + 1.4b once to create the save directory in My Documents & to make sure the stock version is working.
Then run the GWX.exe file to install GWX, then run the 1.03 patch.
Now install SH3 Cmdr and apply the specific cfg files as instructed.
Now run the game to make sure GWX is installed correctly. Use the SH3 shortcut not via SH3Cmdr.
If that loads fine, add the GWX Skin pack into SH3Cmdr's date folder.
Now you can begin to setup your career name & options. Load via SH3Cmdr (please note that the load time for Cmdr will increase due to the extra skins).
If at anypoint you get any error warning, please post the details here.
Good luck.