Reason number 1: XP Home... go find a copy of XP Pro....
Check your version of Direct X
Check your internal Temps.
Drop your video setting in AH to the bare minimum and see if it loads.
My money is on either power or overheating. Is your machine overclocked? Is your memory overclocked?
The 9800 pro is a power hog... If you have an alternitave video card that dosen't require direct power from the PSU swap them out and test it. If the game runs and the machine is stable then you have found your problem.
http://www.newegg.com for quality low cost PSU's