The installer is functioning as designed. It is supposed to "complain" if you didn't follow installation directions. Many software installers for other games/mods do the same thing to prevent user support nighmares. It protects both you and us from chasing down erroneous problem reports later.
Your previous career(s) will not be compatible with GWX.
GWX modifies well over 2000 files, which is why a
CLEAN installation of SH3 version 1.4b is required to install it.
You will need to
uninstall everything that you are able to with the SH3 disk, followed by deleting all residual files in your "SilentHunterIII" folder... as well as deleting or re-naming "My Documents/SH3."
You can review installation issues prior to doing so, by downloading the GWX manual here:
http://isaf.us/gwx/GWX_MANUAL_EN_PF.pdf
Game-cracks or peripherally related matters are not open for discussion at Subsim.