Perhaps the save is corrupted. My experience with corrupted saves is that they produce a Crash to Desktop. That's why I always keep 5. Corrupted saves are associated with lots of traffic - especially large numbers of enemy ships and aircraft.
Try starting a new game and see what happens. If you are able to bring up the game, consider maintaining a number of saves in the future.
This topic has been much discussed in the past. The conclusion is: Multiple over-right saves produce corrupted saves. Some people have had trouble while saving with a convoy in the area, the sub under water, during battle, close to land.
The solution is: Make a master save every time you are in port. When you do save out of port, try to save when in clear weather, on the surface, no land or ships nearby. Make a new save file every time. I just use my name for the master save, then each subsequent save, I use my name and add a number(xxx, xxx1, xxx2, etc.). I haven't had any trouble since I started using this system.
One thing to check is to go to your desktop SH4 icon you use to start the game. Right click it and go to Properties. Look and see if the game is starting with gu.exe or sh4.exe. If it is starting with gu.exe you should change it to sh4.exe. This may help you with your saved games.
If you have trouble loading a saved game you could try loading another save and while playing, stop the game and go to the Saved game menu and try loading the save you had trouble with and see if it will work then.
Saving with a different save name as fireftr18 suggested is a good idea to
Same issue with me. Went on a business trip and when I came back the "game stopped working" started showing up. They were clean saves and not overwrites. At first I was able to get back into game by opening the training missions and from there doing a load save game which worked. Now that no longer works and saves that loaded before will not open. Have over 10 clean saves (don't know the game status at each one of them) and can not get any to open. Big disappointment