You'll need to post a lot more information than that...
What game are you trying to play? Is it legal? Does this happen with any other games? Has it ever worked?
Does anything else cause this to happen?
What OS are you using?
What protection software do you have?
What are your hardware specs? Most importantly, your RAM.
Without any other information to go on, the only suggestion I can make is defragmenting and maybe cleaning up a bit with
CCleaner (install without Yahoo! toolbar). Also, try reinstalling your game and see if it makes a difference.
Your RAM could be failing, so run
MemTest for an hour or two (try playing your game while the test is running). Let us know of any errors and get back to us with as much information as possible.