Decided to pop SH4 back on my machine after a sabbatical.
The install seemed to go fine, but whenever I try and start the game I get a few seconds of the 'reading the CD' symbol, then nothing, the cursor goes back to normal.
Nothing turns up in Task Manager, there are no errors reported. Getting a tad frustrating.
Running XP (x86 sp3).
What version of SH4 are you trying to run? IF you are using the Gold Edition of SH4 (v1.5), you don't need the CD in order to play the game. If memory serves you don't require the CD to run v1.0. Try going into the game folder where you have SH4 installed and look for the sh.exe and start with that file.