I use also .wav and .bmp, it's not about them. Have you saved your work before trying it?
If you try it in GE's Game Mode, it usually might run better if the work is saved.
Also, your game might have some error that doesn't matter for starting the game, but
during the game it will grow so huge that it makes the game crash. Would be easier to help, if
I could see the source of your game. Or is this happening with many games?