The game crashes without showing any message when I try to load a saved game.

Hello there kolaloka! It would be helpful if you include information such as operating system, how you installed the game and which settings you changed from the default.

I just picked up this game from the store and encountered what could be the same problem. When I try to load, I always hear a Windows Application Error and see either a black screen or I get tabbed out to my native screen and see the attached error (with perhaps other memory addresses).
So, it does seem to always crash with a message for me, which is why I would like to know whether you see a potential error prompt or if the game actually crashes and closes immediately for you, or possibly something else.

There is also a second kind of error which asks whether I want to terminate the game, which I could not reliably reproduce so far but it always asks me whether I want to terminate the game, and a no leads to more errors (I can try to reproduce it if anyone is interested - I spent 2 hours on getting the game to start and I spent some more time trying various other settings after I fixed it for me, so I hope you can forgive my laziness right now). I think your best bet is to use dxwnd as is specified in the thread here called "Windowed Mode with dxwnd on gog-versions?"
I could import the profile included in the exports folder of dxwnd and get the game to run with the following modifcations (on a Win 10 x64 PC, installed using GOG Galaxy)
----In the Properties -> Compatibility tab of WW.exe: administrator privileges. Run in compatibility mode as Win 95 or Win 98 (tested no other settings there, but these too seem to work). Also tick Run this program as Adminstrator.
----In the installation folder of War Wind: Renamed ddraw.dll. This means you cannot run WW.exe anymore without dxwnd.
----In dxwnd: Modify the launch settings by inserting the correct path to WW.exe, acquire admin caps.
The game should run that way, allow you to save and alt-tab whenever you want, and in dxwnd, you can adjust the Window Size to whatever you wish (game fully stretches out) and change Mouse Clipper to LOCKED.
The only issue I have is that the game seems a bit choppier / frame rate seems to vary a bit more, and my mouse creates a "trail" that causes the background behind it to lack behind a fraction of a second. But it definitely seems playable that way.
Hope this helps! If you have any more info or questions, feel free to ask!