Unzip and run "Megaman X4 - 1Hp Edition 202X (All-Versions).exe". As an administrator, select your game version (PC, XLC, EMU; Xebra-Mednafen) and choose the difficulty.

Run your version of the game and notice there is a title change in the game process.

If an error occurs, delete the set.dat file and reopen the executable as administrator.