Oh no! What version are you using?
The non-legacy for windows. I've had a similar issue with another game on the same engine. The legacy version seems to work fine, but when I close that version, I get a sprite error message.
"Script 'test' line 5: NameError occured.
undefined method 'set_upper_sprite' for class 'Sprite_Character'
I'm aware of the error message--it's totally harmless and will be addressed in the next update. I was just putting it out there before I patched it in case other bugs came up. So, are you thinking that your computer just has some issues running RPG Maker games through mkxp?