Easy part first

I don't see any reason why exactly the same logic as GIEP couldn't be used to accomplish what you're trying to do. It's just going to be a matter of using a different folder for the movies and me changing the code in GIEP to look for the .wmv file extension rather than .tga. Of course, because of the size of the files, it will take a little longer to copy the files into the appropriate folder.
Now, on to the GIEP problem. It sounds like you have an installation problem. Both GirlInEveryPort.exe and the Captain'sGirls folder should be in the same folder as the SH4.exe. In other words, your install should look something like this
If that isn't the problem, let me know and we'll get it right.