Sorry to mention, but sometimes the obvious... CPU affinity can not be permanantly set that I know of. You have to set this ever time you start the app. Also the main.cfg you need to edit is the one in My Documents\SH4
FWIW, my stutters stopped when I stopped running Taskmanager
AMD 4200 Dual
2GB Ram
7600 GT 256 DDR3
SB Audigy 2 SE (not good)
I get 20's with High settings and 4xAA @ 1280x960 120hz