with blue screen, do you mean
Blue Screen Of Death? (a blue screen with some white text, after that you have to restart your PC)
If so, there's probably something wrong with your PC
In my case, the only time I've had BSOD's was when my cooling failed. Might be the same in your case, SH4 loads, extensively uses your GPU/CPU so your PC gets hot up to a point where it can do nothing but shut down to prevent damage.