I used to have similar problems when I played games on my PC. I can't recall now what exactly caused it, or if I found out for sure, but I have some suggestions.
First, and probably most importantly, check the settings on the game, and make sure they are in line with your system. The start menu for the game should have an option for the settings, open it and make sure it's set for the correct Windows version, resolution, etc.
It's always a good idea to clean off all the junk from your hard drive. Go to your computer's Control Panel from the Start Menu, and delete the buildup of temporary files, cookies, etc. It's under "Free up space on your hard drive" on Win XP. If you haven't done so in a while, defrag your hard drives ("Rearrange items..." on XP). Pick a time when you won't need your computer for awhile, it takes forever. It's also a good idea to run a malware search such as AdAware, or SpyBot, to make sure there aren't processes running without your knowledge (this also takes awhile).
If the gameplay doesn't require an internet connection, you may want to disconnect while you're playing the game. You may also want to turn off any processes that may start running or try to access the internet while you're playing the game. This could include anything from screen savers to security programs, or anything that periodically searches for updates. Just remember to turn any security stuff back on.
IIRC, when my screen would go blank during gameplay, I could hit the Windows key (between the Fn and Alt keys), and the game would go to it's menu (pause), as the screen brought up my desktop, with the game program listed as a tab on the bottom toolbar. I'd let the system settle down for a few seconds, then I could click on the game tab, which would bring up the menu screen, and continue the game. Still frustrating, but much better than losing all your progress.
If all else fails, most games have a number for customer support in the instructions. I'm sure you already knew most of these, but just trying to be thorough. Of course, the obvious solution is go out and make some friends, geek! :p