Guess what...
Actually that crashing (i had) was a problem with a graphic card: ATI Radeon x1300, It didn`t support D3D (in DXdiag).

So I had to install a patch (after a little search on forums).
Some people used Omega drivers rather than original ATI drivers to solve this problem.
Seems like many people with this and similar graphic cards had a same crash when starting some 3D games (in my case 3DGS engine).

So, maybe (just maybe) your problem is similar.

Regards.

Cool, I have ATI 200 series, maybe this is the prob.
Will check it out, thanks for the heads up

ATI ruined their AGP driver with every driver version after 7.06, this is a known
problem since around june 2007, and the current fix with the 8.10 version only works in 50%.

But maybe you're one of the lucky guys.

I got rid of this problem when i deactivated the Catalyst A.I. option.

Yeah, well, I guess I`m lucky (luke)
Deactivating the Catalyst A.I. option sounds like a good idea.

Here is what ATI recommends for D3D problem:
http://support.ati.com/ics/support/default.asp?deptID=894&task=knowledge&questionID=31542

And here are also some interesting opinions about it:
http://www.dslreports.com/forum/r19779875-For-those-ATI-users-with-AGP-Direct-3D-problems

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Here are some solutions I picked up (on the way), but I`m not so shure about them:

Solution 1:

Go to your graphics plugin settings and switch to HAL
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Solution 2:

Go to your Display Properties-->Settings (Control Panel-->Display)
If your colors are set to True Color 32bit switch to High Color 16bit
If your colors are set to High Color 16bit switch to True Color 32bit
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Solution 3:

You need to get inside of DxDiag.exe and turn on direct3D device...

Go to microsoft.com and download directx 9.0b SDK version (218mb) and install it without samples and ohter stuff... just the directx... (http://www.microsoft.com/downloads/details.aspx?FamilyID=1d97f320-9dfd-4e7a-b947-3a037ccf84af&displaylang=en)

After install, go to control panel and choose other options and it will show you DirectX icon, get inside and enter in DxDiag. I these menus you will find the button to turn direct3D always on.
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Solution 4:

try different video drivers, check out:
http://downloads.guru3d.com/ for a huge assortment.
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Solution 5:

uninstall directx and reinstall:
Uninstall: http://downloads.guru3d.com/download.php?det=626
Re-install: http://downloads.guru3d.com/download.php?det=835
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Hope, some of these will work, or like PHeMoX said, maybe we bought a wrong cards... Sorry for this long post...