The game does exit to windows every once in a while, and I do mean very occasionally. So if it's happening a lot for you then it's more likely a conflict with your system. So you need to eliminate some possiblities.
Which sound option did you choose, is it compatiable with your sound card? Try running the game with no 3d sound or even disabling the sound entirely by adding -s at the end of the shortcut.
Have you tried a different video setting? And are your drivers and direct x up to date?
Finally is there anything in particular that you are doing when it crashes? Does it crash in the same place each time, when you open a certain door, equip an item or weapon or kill/talk to a certain npc etc?