What version of the game do you have? (region / language / retail or download)
In Windows Explorer if you find the intro.wmv file and double click it, does it open and play in Windows Media Player?
Do you have any codec packs installed? Maybe something like FFDShow or your graphics drivers are set to apply some kind of effect and open videos in an overlay window?
Are you shutting down all non-essential programs before starting the game, especially anything multi-media related?
The 'crash to desktop' section of the topic
[PC] Support FAQ - The Dragon Knight Saga describes several things that can be changed manually, including disabling videos (hopefully you will not need to do that, though).
There may be a setting in one of the configuration files where you can manually try setting the 'use multi-core' option.
A couple people who had problems with the skill preview videos simply deleted the files (
[FIXED] - Skills menu lag!). You should be able to rename the intro video, as well.
Try emailing support@larian.com, with a description of the problem and maybe a link to this topic. See the appropriate support page for
DKS or
FoV.
Check with the publisher, as well (a support email address should be listed in the manual if you have a retail release), to see if this is a known issue with your version. Digital download distributors may have a forum or FAQ you could check.