To add to what Benzin1973 says, if you are wanting to add mods to your game, you cannot install SH3 in any of the "Program Files" folders, even if you are inside the Steam install folder. If you are going to play just the Stock game, no problem, but Windows will prevent any mod from fully activating due to Windows OS restrictions on changes made in the Program Files folders. You can either use a Steam Library folder outside of Program Files (such as a "Games" folder, of whatever name you give it), or a Steam Library folder on a different hard drive, but still outside of a "Program Files" folder". See
Moving a Steam Installation and Games knowledge base article. There is another link somewhere that I can't find just yet, with more detail about the "moving games" portion, also on the Steam site...
The big thing though, since you are getting a "PROBLEM LOADING 3D ENGINE" error, is that you might not have installed the DirectX v9.0c and its associated Windows Media Codec files when you did the SH3 install. Even though you might have the latest / greatest MS version of DirectX v12.xx whatever, the game still needs some of the "Legacy" DLL files of the DirectX v9.0c install. When you do the DirectX v9.0c install on the newer versions of DirectX, it does NOT overwrite what you have - Windows won't allow that. But it does adds to it. This is necessary.
