We consider SUSY YM theories with extended supersymmetry: N = 2 and N = 4. These theories are distinguished by the fact that vector and scalar fields one and the same supermultiplet. It is shown that nonperturbative effects do not destroy vacuum valleys in the space of scalar fields. Thus quantization can be performed around nonzero values of scalar fields, which automatically regularizes infrared behaviour of the theories. In this way N = 4 SUSY YM gets a well-defined mass shell apart from the well-known soft ultraviolet behaviour, β ≡ 0. The physical structure of N = 2 SUSY YM theory is discussed in detail; special attention is paid to the confinement phase, where the appearance of massless white bound fermions is predicted.