Did you install the DirectX v9.0c and Windows Codecs when you installed the game? There is a little "dialog" box with the tick mark boxes to choose what to install with the game. You (usually) won't need the Adobe Acrobat, but you do need the DirectX stuff... Trying to use the DirectX v9 online installer does not work for Windows 10. You have to use the one included in the Steam package. You might also have to set the SH4.exe to "Run as administrator". Also, do not install the game in a "Program Files" folder, but rather, choose your own install folder, such as "C:\Games \Steam \etc..." That way, you'll be able to install mods later, if desired.
