I'd do like ETR3(SS) suggests, and "verify" your SH4 install first (de-activate any mods first, as mentioned above). Do you have two SH4 short-cuts on the Steam menu? Are both Steam short-cuts named exactly the same? From that Steam app on your computer, you can click on the short-cut for SH4, then right-click and choose "Properties", and that will show you what the short-cut "points" to, or which SH4 it will start.
