Question: After deleting the sh4 folder, and refreshing the view, is the folder really gone?
In case it didn't, I'd restart the computer in Safe Mode. You can accomplish many things in Safe Mode, especially when dealing with stubborn problems.
And don't forget the SHIV folder in your user profile, where all the save games go.
After that, I'd restart the computer in Normal Mode, and run a good system cleaner to clean out redundant files, registry errors, etc. There are a few available on the internet.
Some are better than others, and some have caused mischief in my OS. For this reason I have been using Advanced System Cleaner for some years now. It's proved to be reliable. The free version is quite good. It even comes with an "Uninstaller" that can perform a deep search and clean out for left overs of what you've just uninstalled. Just beware of the Registry Cleaner (this is valid for ANY OS cleaning software): if the registry cleaner scanning offers you in the order of well over a thousand registry entries to delete, DON'T. Scan it again. If in doubt, reboot the computer. Otherwise you might find yourself installing the OS again (although I'm sure this would fix the SHIV install problem
).
Other thing that came to mind is the possibility of a corrupted install file.
But lets do one thing at a time.