This is definitely not a known problem!
ArtRage is in general a very well-behaved program that doesn't do anything at a system level that could cause a Blue screen of death.
In general, Blue screens of death are caused by faulty hardware, or faluty drivers for hardware.
When ArtRage shuts down it writes its current settings to a file, and it makes a small sound as the 'Do you want to save your settings' dialog closes.
Check you have the latest drivers for your sound card - some drivers dont like the way ArtRage starts a sound, then exits the application before the sound finishes playing. (You could turn off sounds from the ArtRage menu - edit/preferences/sounds)
Also check your harddrive for faulty sectors. If the settings file is in a bad sector that might cause a BSoD.
AndyRage's mantra for graphics engine code:
"Sure - how hard can it be?"