Hi Jan.
That error is nothing to worry about. All it means is 1 block of memory that the game was using wasn't deallocated when you closed it down. If it was multiple blocks, then it could be a problem, but 1 block is no big deal. In fact, I think XP has a memory management feature that will deallocate memory blocks automatically if they aren't referenced after a certain amount of time. But if it worries you, you can always reboot to clear the RAM.