Yup, GWX has a nice install file, it does everything for you. As for what it adds... well, the manual is 556+ pages long!
Here's a VERY short list of what it adds:
http://www.thegreywolves.com/Features.htm
I'd highly suggest GWX 2.0 (+2.1 patch) to really enjoy Silent Hunter III. There's a lot of other options, but GWX really brings it all together for you nicely. It changes almost every aspect of the gameworld and gameplay.
The gameplay will be a lot more difficult compared to vanilla SH3. Realism and historical accuracy is the mod's goal and they do a great job for it.