The game being in Program Files means that Windows "sees" the changes that JSGME makes to your game install, and then reaches in there and puts back every cfg and ini file it finds changed. That is one of the reasons you are not seeing traffic. When you re-install, put the game in your own folder, not the default. There is usually a "path" dialog where you are asked where you want to install the program. If it is a Steam game and you have a valid 2nd hard drive in the machine, you can add another Steam Library and install the game there. Refer to
Moving a Steam Installation and Games - it can get rather involved. With the right circumstances, you can sometimes copy a Steam SH4 game install folder and paste it elsewhere on your hard drive and use a shortcut you make yourself for easy starting, but some installs will not cooperate. The Ubisoft install and the disk install both can be done like that. Use
MultiSH4 if you want to try to have multiple SH4 copies of your SH4 folder, each with their own mod set and unique Save folder. That might be a subject for later, after you get up and running with one mod...