Great Gotham Cities, Batman!
Got a real interesting situation with SAS EG 4.1.
A lot of our DI developers and SAS Analysts use EG like demons.
They all have dual monitors as well, so they can work twice as hard (or keep a track on the latest SAS blogs while working 
One issue we are having is that every now and again EG just disappears on them, kapow, no errors, no warnings, no pop ups just gone. And of course it normally happens when they are in the middle of an important project and they havent saved the EG project for ages.
We think we have tracked it down to the use of Dual Monitors but arent completely sure that is it.
Anybody else expereinced this?
I am using Data Integration Studio 4.21 and Enterprise Guide 4.2 with dual monitors pretty heavily, both connected to my DELL laptop (XP pro, 2GB), and I got not the problem you had described.
With old EG 4.1 version, I used to have several problems when closing it, but never when using it with other SAS components or in a dual view environment.
I would recommend you check the anti-virus configuration, to upgrade your graphic card driver, and to check if you have memory enought for DIS (check the java memory options in your .ini file) and to review your windows event file in case you find something interesting there (as a .dll issue).
Cheers from Germany,
ManuelDavid.Garcia@verivox.com
PS: go ahead moving to the 9.21 platform / EG / DIS, the SAS R&D made a really great job!