There is absolutely nothing, obviously wrong there. I can only suggest you update your soundcard drivers, though that probably won't help before trying anything else.

After this you should try a diagnostic startup from ms config to see if any background tasks are interfering with STW. I'm trying to think what STW does when exiting the game. I have tested this with MTW, that is very similar, and changed settings and then alt tabbed and killed the MTW process as a test, then restarted. The settings I changed went back to how they were before. This indicates that STW/MTW saves it's settings on exit. If it is unable to save this, it may cause the system to hang, though one would expect an error message. If you're logged in as an administrator always this shouldn't be the problem though. Another possibility is the network, though not likely either. STW was not designed to run on NT based systems so may get problems when it tries to write to files that it doesn't have the permissions to write to. You could try disabling your LAN connection also. To try a diagnostic startup:

1) Click -> Start -> Run -> enter "msconfig" and hit enter or click ok.
2) Select "Selective Startup"
3) Uncheck "Process System.ini file", "Process Win.ini file" and "Load Startup Items".
4) Click the "Services" tab, and click "hide all Microsoft Services".
5) Click "Disable All".
6) Click "OK" and restart the computer.

When the Computer restarts you'll see a message about msconfig being used to make a configuration change, check the box and dismiss it.

Now test STW again. If it's the same as ever, reverse the above process and don't forget to reenable those services you disabled.

If by some small chance it worked you next need to find out which process was causing it.