Take a look at what's going on, at The Town Crier!
Can you provide a screenshot? What other programs are you using, and what operating system/computer specs are you running?
Try playing it sometime without other programs running and not alt+tabbing out of it.
Does it close the game when it switches to the desktop?Try to mess with the game's compatibility properties (i.e. run in compatibility mode for windows xp, disable visual themes, run as admin, etc.).
That's why I suggested you run it in compatibility mode for XP.