Please post in the correct forum sections. Your thread has been moved to the proper area.
It would also be good to know what operating system you are running, what video card you have (and if it is updated to the latest drivers). While you are at it please list your full system specs if you can
Although I am already aware of this error, you were attempting to run Heroes of Newerth weren't you? Allow me to look up a few places (the best place is the Heroes of Newerth Beta Forums for such information) and get back to you. It would be useful however if you saved the crash report and uploaded it somewhere we could view it.
Being an HoN player myself. The game is still in a locked beta. With a locked beta there are of course going to be glitches and pestering errors that occur. Right now they're focusing more on fixing in game issues such as spells/items/heroes that aren't functioning properly. As probably anyone else who plays the game knows, their chat servers can be a nightmare to connect to, if theres a patch released while you're in game chances are it will end the game, and more than likely you'll get randomly disconnected from a game you're playing at least once a day.
I would suggest just to grin and bear it till the games full release is out, because then you actually have a reason to complain about it since you paid for it .
Just things to check though:
As Frozen said, check your comp specs to make sure you can actually play the game (i have to run it on very low settings cause of my terrible integrated hp vid card)
Also, if you just downloaded the game, make sure you let it download the latest patch before you tried to clock the "Play Online" button or it will give you troubles. If thats the case I would redownload the game and let it install the patch correctly.
PS no prebuying it doesn't count in that department Frozen