This doesn't sound like the typical driver or DirectX problem that folks have. It's still possible that you problem is there, though, but I assume that you've already checked those out and other games run fine. What's your OS and DX version?

You might not have enough RAM, but that's increasingly unlikely.

I think the most likely cause is some program that's running in the background. It could be something like a virus checker, but if you are running WinXP it could also be one of its many 'services' -- pieces that run as independent programs. Few of those are essential. If this is probable then I'll read up on it -- or perhaps someone else here can pick up the conversation.