Erm... Try closing down all background programs (especially anti-virus), by pressing ctrl+alt+del, and closing down everything except for systray and explorer. There might be some background program interfering.
If you have WindowsXP, make sure you have Service Pack 1 installed.
If that doesn't help, post your computer specifications here... That alows us to help better.
Tovi's advice is excellent. It sounds like you've got some program running in the background that's using a memory location which <img src="/ubbthreads/images/graemlins/beyond.gif" alt="" /> wants. When the two collide, I'll hazard a guess that the system attempts to inform one or both programs to "pull back," in effect, and neither does. As the system freezes, the CPU signals a reboot.
From personal experience, I suggest removing as much as you can that's in memory before running any game. Games are usually designed with the idea that you aren't going to run anything at the same time, and they don't like sharing. Unfortunately, some programs are all about sharing--such as anti-virus apps, or reminder/contact management programs, or even screensavers.