With these settings, I was able to complete the game.
(See the attachment)

From the launcher menu (not the in-game menu), go to Advanced Option, select every option, except the last one, of the column Disable. Then DEselect every option of the column Enable.

After that, go back to launcher menu, press Display button and select LithTech Software Renderer (soft.ren), then select the basic resolution (640x480x16).

I cannot assure you it won't crash at all, but, as I said, thanks to these settings, I finished the game.

Disabling the music fixed it for me.

Nice one guys, disabling music fixed it for me too

Well, I tried all solutions in here, but none of them worked.
Fortunatly I've completed this game once (both routes) with my old computer...so I know how the story ends though.

Yup disabling the music was the trick :) Thanks all! (yaj I finished Shogo... like finally :D )

Thanks for sharing it, worked for me too.