Here's a step-by-step guide to trigger a serious bug in MotBW:

1. Attack a province that has native defenders
2. Start the battle
3. Get out of the game using the menu, the game will save into a "continue"-file
4. Shut down & restart the game, load the continue
5. Win the fight.

- After that, the hero will be stuck into this province which is NOT YOUR OWN. You cannot do anything with this hero.
- Next turn you are prompted to capture this province.
- After that you're able to explore, plunder etc things that are in this province, however - you can't move your hero away - so you need to dismiss him or the game becomes unplayably. :((

http://www.xup.in/dl,17924751/continue.map/

You're new here, and to this game (?). Those kind of problems are since release (3 years ago?).
There was a patch where the game became rather playable, then they made it worse, adding features and other bugs.