At the absolute best, it means that you overloaded the memory and you just won't be able to run EK without common restarting due to your setup, hardware, or programs taking up memory. Second best is you have a really old system and need to update some software, which may or may not work. Third (at which point things are inherently bad) would be you might have a virus/malware/whatever limiting your system capability. Worst is that your hardware is actually damaged, but you don't push it enough to notice it that often.
Probably wont be due to memory, EK essentially uses all memory on start-up, so if memory was the problem, it would crash long before he gets to selecting or even be able to start playing as anything. Drivers might be one issue, but the problem seems too specific for that to account for it, if it only ever happened in EK and nowhere else. Virus seems unlikely because it would be a odd thing to be only noticed during playing of CK2, though its not essentially ruled out either. Damaged hardware would be another likely candidate, most likely the graphics card.
So going by all that, the problem might actually be overheating, or in most cases, its a precursor to bluescreens. So either the PC overheated and was essentially five steps away from shutting down on its own, or it was stuck in a loop of trying to load something, failing and eventually giving up without actually going into a bluescreen.