if your running a listen server, don't bother
if you want to set up a dedicated server try out one of those auto installers (look in general) if they don't work, read the documentation in the SH download and follow it step by step
You will need to install metamod and then amx first... remember that.
also make sure you READ the readmes with both metamod and amx, it will save much hassle in the long run.
and SH needs amx 0.9.8a not 9.9 which is the current amx release, sh will have issues with 9.9 unless you re-comile your entire sh mod (its quite a hassle, and i never got it to work in the end anyway)