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I think that is caused by Alt-Tabbing.
Alt-Tabbing is not supported.
 
Well I tend to think people have already seen my standard advice before posting. :)
 
Sometimes I had the same problem, but it doesn't have to do with colour depth.
It happens always when hitting the windows key while loading the game or a scenario. If I hit it when game is already loaded, no problem.
 
That amounts to the same as Alt-tabbing.
 
Extend that to basically anything that can pull the focus away from hoi 2 while it is loading the graphics and initializing the graphics driver in preparation for usage of those graphics.

The problem arises from switching video modes (from dx full screen to desktop and back) before the video driver has fully initialized all structures and memory allocations. Ultimately, it's a driver problem, but as Castellon says, don't switch back and forth during a game session. If it works, fine. But it's not officially supported, so you run the risk of it not working.