Yes, I have the same problem.
Here's what happens more precisely:
The program starts, and I'm able to get to the arena selection screen. Then when I try and select any arena, I get a brief flash of a "Loading pre-cache" box, or something like, and then I'm staring at my desktop. I've tried changing my video resolution: same deal. I've tried enabling pre-load of the textures. This produces a slight change: I stare at the preload box cycling for a few seconds, and then boom, I'm admiring my icons again.
P4, 2.66Ghz with 1 Gig of Ram
Radeon 9800 Pro
All drivers up to date.
Running XP