Welcome to Subsim.
When you have installed SH3, load into the main menu and look in the bottom left corner. If it says 1.4, you are fully patched. Usually this is the case with newly purchased versions.
If it's not already patched, unsinstall it completely, delete the UBISOFT or SH3 program folder and then reinstall. Now try the 1.4b patch (which has all the previous fixes). It should work.
As for adding all the mods into an installer. Depends on which mods you want.
Also, there is a very useful program called JSGME which will manage your chosen mods and will activate/deactivate the mads when you want to, returning your game to the unchanged version it was before. I'll get you a link : Generic Mod Enabler -
http://www.users.on.net/~jscones/software/products.html
Please come back to us if you are still having trouble.