If you are patched to at least 1.4 and have not installed in any mods, my guess would be to try running the exe. (the SH4 icon) as administrator. If you are not sure how to do this, right click and select "Run as Administrator". If this is not your problem, we will need more info in order to help. BTW, Welcome to Subsim!
One more thing...make you installed the DirectX 9 runtime. If you are not sure, put the disk in and install it. Many people think it's unnecessary. This is also a common error.
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