[Suicide Junkie]

What he means if if you have two copies of SE4 installed, say:

c: \se4\se4Classic
and
c: \se4\se4Gold

And you try to run the patch, it will latch on to the first one it finds.

If you have multiple installs as above, odds are it will pick the wrong one.
The window it brings up has a text box for the exact location to install the patch, and a directory tree below where you can click through your folders to find your install folder manually.

Typing the full path into the text box will surely work.
If you want to use the directory tree browser thing below you have to DOUBLE-CLICK the Last folder, rather than just single click to select.