This is easy (for once!).
First, check if there is an official patch for your version. Steam shouldn't have this problem at all anymore, and some retail versions have 1.07 version which fixes this problem. If such a patch doesn't exist for your version, which would not be unheard of (I guess I explained this earlier), then here's the fix:
- Download http://shadowgroundsgame.com/help_sgs/S ... roblem.zip
and extract to game dir, and problem solved.
Let me know if it helps.
(And additionally, it would most likely proceed in 5-10 minutes, depending on the computer speed. It's a weird loop or something that's caused by an unnecessary script command, but it does seem to complete at some point, and it only happens on Vista.)