Do you have a Windows key on your keyboard (which by default brings up the start menu when pressed)? Some systems have a problem with minimizing or alt-tabbing out of DirectX games. If you are hitting this key by accident, it can be disabled;
r/e: hitting the windows button instead of alt keyIf the problem is random crashes, you can try running the configuration program and switching to a different mode or lower resolution, set your desktop colour depth to 16 bit (I didn't have a problem with 32 bit, but some people have), check for updated video / sound drivers, etc.