I just installed GWX myself and I think I had the same issue as you do....not enough instructions on what is needed and broken links to the GWX site.
Browsing through the forum and other sites, this is what I found out:
1. Go to this website:
http://thegreywolves.com/
2. Go to "download links"
3. Download the "GWX v2.1 Online Manual"
4. Choose one of the hosts (I used Jimbuna Filefront Hosts)
5. Download GWX2.exe and all 7 of the gwx2-?.bin file (The ? will be numbered 1-7)
6. Download the GWX2.1.exe
7. Put all of these files into the same directory on your harddrive. (Doesn't matter where)
8. Open the "GWX v2.1 Online Manual" and read the installation instructions for the details.
9. With a clean install of SH3, run GWX2.exe. You will have to tell it where you installed SH3.
10. Run GWX2.1.exe. You will have to tell it where you installed SH3.
11. Play game.
Note: GWX2.exe will automatically install JSGME to your SH3 directory. There are some mods with GWX that will not be automatically activated and you will need to run JSGME to activate these mods. The "GWX v2.1 Online Manual" explains what these mods do.