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My EU2 often crashes to the desktop when not in a game, but last night it even went down in the very middle of an mplayer game. It could be my crappy comp, but I'm not sure. What gives?
There are still a few CTDs (Crash To Desktop) in the retail version of the game as well as in the beta version we have.
Try the running problems thread, if it doesn't solve your problem, not much will do. On my machine (a rather clean machine, I'd say) it still crashes from time to time.