Well, I just tried again. First I ran Error Killer for a complete resgistry and windows shortcut scan. It found 8 registry errors and 3 shortcut errors. Hit Fix Problems and reran SH4. Low and behold it's now loading as it should. Sorry about that stupid question.
:hmm: Weird way to fix loading of SH4 but it worked.
Why, I've no idea.
Here's the link to this great program...
www.errorkiller.com
It's not free but worth every penny you pay. I highly recommend it... if that means anything.
Edit: What they say is true in their opening page. It's NO Bull.