Every region I've tried, be greyscale, SC4M or even the default SC4 regions, the load screen goes away and my cursor appears to hang with an hourglass and the central region of SC4M remains white. However, the program isn't really hanging, because I can still click 'Load Region', 'Create Region', and 'Quit' even though my cursor remains as an hourglass.
I tried the workaround, creating a dummy 'My Documents' folder in C:\, I gave the app admin privileges, and changed compatibility to Windows XP.
-running Windows 7 x64, SC4 deluxe