Glad you figured it out though it still sounds like you installed the script in the wrong place. In your case it would go in C:\Documents and Settings\Administrator\My Documents\maya\4.5\prefs\shelves, I believe.

If you save it there to begin with, it should automatically create a shelf for it. Then just choose "shelf tabs" in the same place where you found "load shelf." This will allow you to switch between shelves quickly. Look at my screenshot again and you can see it.

Anyway, glad you got it to work. Definitely spend time with the manual as it'll help you out tremendously. Cheers!