Yes, you must chose the sh4.exe to patch it with the '4GB Patch' or LAA in order to get more RAM for the game and avoid crashes if you mod the game.
Simplest way to find that file is right-clicking on the game icon > Open File Path.
But by reading you, I advice you to read some sticky posts here above about how to install the game correctly and make it run. This is a good start:
https://www.subsim.com/radioroom/sho...d.php?t=219029
XS