That's a generic error that could be caused by any number of things, although happening during loading makes me suspect it's occurring when loading the images and sounds.
First thought is to make sure you're running the EXE from the folder it's living in (e.g. by finding and double-clicking it) rather than from somewhere else (e.g. searching it in the start menu). Otherwise it might get confused on where to find the asset folders.
If that doesn't help, I can make another build with error logging tonight that could give us more info, if you're still up for trying to get it working!