Follow the Procedure, precisely step-by-step and including the several re-boots, described in this thread/link:
http://www.subsim.com/radioroom/showthread.php?t=133290
If you have VISTA, make all the installations into a folder other than "Program Files". I have two folders called "My Games" and "My Applications". With Vista, by default all files within the "Program Files" folder are generally Read-Only, so that as Games/Appplications such as SH try to write/update files, it doesn't work. (There's a way to overcome the default setup, but it's just as easy to create the separate new Folders).
Good Luck