There can be many reasons for this, But we need some more info.
What Operating system do you have? and is it 64 or 32?.
For windows you should start the came with a command line so you can copy paste the output the games terminal text(running in background of active game).
For windows it's "windows button+r"
Then you type "CMD"
Press "enter"
Now you must find the megaglest game on windows it's usually placed in here
"C:\Program Files (x86)\MegaGlest"
So type in "cd C:\Program Files (x86)\MegaGlest" this is inside the CMD windows you opened before.
Now you are inside the folder
type in megaglest.exe
If the game crash you can now see what happend back there.
When the game has crashed right click and from the menu chose "select all" Then press "enter".
After that go to this website
http://pastebin.com/enter the text with "ctrl-v".
Press sumbit and it should now have put up all the text you just "ctrl-v"ed, Then give us the website URL(it changes when you submit text).