[Illuminated One]

On Windows you might also run dxdiag.
Either you go to Startmenu->Run and type "dxdiag" in the box that opens and execute. Or you open a console (Found in Accessoires submenu) and type "start dxdiag".
Go through the various pages of the program and run all the test to check if your video and sound card are working correctly.

(Oh, and just to eliminate the most trivial thing have you checked how much free space is left on your hard drive? Allthough windows will probably inform you if it runs out of hard drive memory)