Are you on Windows XP? I have the exiting-to-windows problem sometimes* after saving a game (ie, when it should return to the game from the menu). It's only happened since I've been on Windows XP. Other than that, dunno I'm afraid.
* 'sometimes' as in from the fifth or sixth save onwards, it keeps quitting and will keep on doing it until I reboot. Obviously if yours does this from the start it may not be related. Just seems coincidental that it's doing it when trying to return to the game.
It's a thought anyway.