I had this EXACT same problem, iopq! Unfortunately, I never could fix it.
In the end, when ever I wanted to exit the game, I [alt-tab]'ed out and [ctrl-alt-del] it. Not the best solution, but I knew when it was really off.
I had suspected it was do to my install. The first time it was ok, then kept crashing. Reinstalled it (maybe installed in a compatibility mode), no crash but had this problem. Weird huh? All updates and fixes (except that fake version of the 1.02 patch).
Edit: "All updates and fixes" includes the official 1.02 patch, just not the fake one that is still lingering on the net.