Is it crashing as soon as you click on the "New Standard Game" (or New Historical/New Custom, etc.) button? The most common cause of that is not being able to create a new game because Windows User Account Control isn't allowing the game to write to that folder. In that case, if you exit the Steam client, then restart it by right-clicking and selecting "Run as Administrator", that may fix the problem.
If that's not it, I'd need to know a little bit more about your system specifications - OS, processor, amount of memory, etc. - to see if there's a potential problem there.
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