Same problem here. Windows "ding" noise and then the game is hosed and the autosave is sometimes unrecoverable (but not always.) There is definitely no correlation with size of battle - happens on both small and large battles, and I think the "captured" theory is hogwash but I can't prove it.
Here's my system specs:
Pentium4 1.4GHz
128 MB RAM (never changed since CM installed)
NVidia Geforce2 MX (so, yes, I have the usual CM transparency and text bugs too ... what fun...)
Windows2000
A frequent opponent of mine also gets the ding of death sometimes, and his machine is an Athlon 800 MHz.
Nowadays, we save the game on every single turn so that if the autosave gets hosed we only lose a single turn. Big pain in the butt.
I just assumed that everyone on Earth already knew about this problem until I saw this thread. Jeeze. We have encountered the Ding of Death on many different machines, including various machines at work and on a LAN, so you can rule out the following:
1) Internet vs. LAN
2) Specific CPU
3) Specific amount of RAM
4) Specific graphics card
I do believe all of the machines have been Windows2000, though.
Ah, well, CM is damned good, but ever since 1.12 bugs never get fixed.
NVidia players - go pound sand.
TCP/IP players - go pound sand.
Hopefully these will be fixed with CM2.