Sorry for bumping an oldish thread, but incase anyone googles this like I did and finds this thread. Make sure you have the skse_loader.exe copied into your Steam\steamapps\common\skyrim folder or in the same file wherever your actual TESV.exe folder is located and make a new shortcut for skse_loader from that file. This fixed the problem for me and a lot of installation videos kind of glossed over it.