So for crash to desktop problems:
for those having a P4, use GPxpatch and set CPU to CPU0 or CPU1, the importent thing is that it isn't on ALL. This gpxpatch setting will disable hyper-threading for you in GP4 ONLY if you start GP4 from GPxPatch.
for those having ATI graphical cards, be sure to use a well known and stable driver. Very latest ones could cause some troubles (I don't say they are always causing troubles, but it's better in a first time to get the game working with a past stable and reliable version).
for those having background applications as Antivirus programs, be sure to deactivate them before starting the game. Even if latest version could let you play without any trouble, we had issue with game slowing or crashing every nth minutes due to background virus scans.
for those having overclocked their CPU: be sure of what you did, using a probe monitor and check your CPU do not overheat too much during a race.
for those having overclocked their graphical card, same advice as above, if you can monitor temperature of your card, have a sight on it, else look if crashes do not happen under other CPU intensive games (like Doom3, HL², etc...).
Usually, 98% of the crash to desktop problem under GP4 should be cover by the 5 rules above, I hope it could help you.