* Set program to compability mode
(right-click on program icon, chose properties, tab compatibility)
Win 98/Win Me, 256 Colours, resolution 640 x 480, no visual themes, no advanced text-services.
* Close all running programs.
Press Ctrl-Alt-Del, close all programs that are not necessary. * Start CWG2, after that i close 'explorer.exe' too

=> should work a charm now.
=> I can keep Vcool (a CPU cooler) running in the background without a hitch.