The shortcut doesn't need to be in the SH4 folder either. Any place will start it just fine. As long as the Start In: textbox contains the path to the desired SH4 install folder.
English example (for my SH3) with the shortcut on my desktop:
(JSGME application is installed outside of my SH3 or SH4 install folder: As you can see in c:\Games\JSGME)
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