have you tried uninstalling then installing it to let's say your My Documents? Hmmm Have you tried installing all the latest Direct X/ whatever you need for PCSX2?
But yeah Might be Permission problems.
It might also occur when your cpu is full of background process. Or DirectX is not updates, or, the GSdx cannot load some thing or has insufficient resource. Does it also occur with pcsx2 0.9.7 r3878 or r3113.
Don't install anything in Documents... it's OK to have files there, it's not OK running applications inside these specially protected folder. The reason is simple to understand: the user has total rights there but the application is not the user, even when inherits some the user's rights the system may see it as invasion attempt.