I start the game fine, it runs the intro video until the load icon comes up. (Not sure what comes then.)

The game then crashes, and completely crashes windows to the point of a forced reboot. I tried skipping the intro video (hit ESC) and it immediately crashed again.

System Specs:
WinXP SP3
Intel Celeron G450 (2.5 GHz)
1.89 GB Ram
Onboard Intel HD Graphics (not a separate card in this machine)
DX9 installed,

Not running in any Windows compatibility mode.

I don't know, but I had a few games that took a very long time to start for the first time, Civilization IV and Galactic Civilizations II come to mind.
It's possible that my anti-virus, Avast in my case, was doing some background check or something, or perhaps I had to wait for a firewall popup to time out which couldn't force itself to the foreground.
In both cases I couldn't do anything but hit the reset button, mouse or keyboard it didn't react to, but when I waited a few minutes the games eventually started and after that the games would start immediately when starting them.

That may be the case more for Win7, but in XP, my firewall and virus protection don't seem to be the issue.

Whatever it is, it's causing a complete reboot of windows, not just crashing the game.

Out of curiosity, I tried running the DX8 and DX9 versions with the same results. I'm re-DLing DX just to make sure it's all up to date, but I don't think that's the issue.

BSOD?

Control Panel - System - Advanced system settings - Startup and Recovery - uncheck Automatically restart.

Normally, you should see some info on the BSOD of the error that occurred. That may very well be a graphics or sound related error. Just run Nexus another time and see for yourself.

I did get it again. The BSOD didn't make sense to me, so I'll have to see if I can find someone who's a specialist to take a look at it. :(

If you have a digital camera (be it a full-blown camera or just a smartphone), you could make a photo of the BSOD and post it here. I'm sure we can figure it out, or at least give you a hint.

I installed it on a different machine (yay for several old computers) and it works fine. Not sure what the issue is with the other machine, but I won't worry too much about it for now.