Welcome to SubSim Morgo!!
With a Windows 10 OS I'd take a look at this thread........"
Windows10; Large Address Aware; SH4 Install". Follow the instructions on where to put your game, and what to do with it after its installed.
If you do as instructed, you'll not need to run the game as an Administrator, or in a specific manner. Forget that, just run it like any other program.