If CTRL+ALT+DEL isn't working, try setting your screen resolution and colour depth for the windows desktop to the same as in the game and use the same resolution in game for battles and the campaign map. Also try ALT+TAB, CTRL+ESC or the left or right windows keys and see if any of those work. I have this same problem myself with MTW, the lock up on exit, but for me CTRL+ALT+DEL does work. When I do CTRL+ALT+DEL the desktop appears with the task manager, though the display is 800*600 because this is the resolution of the menu system. When I end the task the desktop reverts back to 1024*768 which is the resolution I use with my modest CRT monitor.

If it still doesn't work then I'm not sure what you can do. I am 99% sure the problem is related to graphics card / graphics card drivers. It was when I bought a Radeon 9800 Pro from ebay to replace my Radeon 9000 Pro that the problem started. Prior to that I didn't have this problem at all. I have since had a new hard disk drive and reinstalled windows. The driver I installed was the Catalyst 4.8 driver, an old driver version, and I still have the problem. This seems to confirm that it is something to do with newer graphics cards. I've tried many different options to no avail.

It would be interesting if people would post their specs, that way we could analyse the data for commonality to better pinpoint what is causing this.