In Control Panel / Performance and Maintenance / Administrative Tools / Event Viewer there are two active logs (services and applications). They almost always log when an application crashes and usually give some indication why. If its not a service causing the crash then its most likely an application. This is what PrincessGuard was talking about.
And no I haven't seen this before, you might check and see if your memory is ok by running memtest86 or if your running unstable by checking with Prime95. I use to get all kinds of problems with jpg's when I wasn't stable with my old AMD system and 98SE, but haven't ever seen it happen with XP.
Edit: Uninstall your video driver and reinstall maybe. You might also see if your DirectX is ok with dxdiag.exe.