How can you not know where you installed SH4 to?, when you install the game the setup installer gives you the location of the hard drive its putting it in and in which directory its going to put it in.
Try looking in C:\ Program Files (x86), if you find it in there you've already installed it in the wrong place. Uninstall it and install it again but this time take your time and wait for the games location to appear, that's when you change where its going to go.
Don't put it in the Windows Program Files or the Program Files (x86).
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