Control Panel > Administrative Tools > Event Viewer, then check through both System and Application logs for any warning or error entries. They may give a clue what is causing this.
I'm running Windows Vista Home Basic (32 bit). I keep getting this message that "Host Process for Windows has encountered a problem and was closed." It happens every time I use the machine, and every time I wake it up from sleep mode. I don't notice any other problems with the machine, but the message keeps cropping up and it's very annoying. Suggestions welcome.