The JSGME setup file that you downloaded goes in the SH4 root folder where sh4.exe is located.
Silent Hunter Wolves of the Pacific\sh4.exe
You get the JSGME setup file here:
http://www.users.on.net/~jscones/software/ <----- Dead Link
It will install the JSGME, a shortcut, and hopefully a MODS folder off the root:
Silent Hunter Wolves of the Pacific\MODS\
Follow the directions up in the post above yours by
RodBorza
Welcome to Subsim and Happy Hunting!
Edit:
NUTS the link is dead
Instead download these:
http://www.subsim.com/radioroom/down...o=file&id=4333
and:
http://www.subsim.com/radioroom/down...o=file&id=3814