That's saved me tons of times. Premiere doesn't have that. That sucks. :) It's also nice because with the autosave it doesn't overwrite the file you were working on: it sames to a different localtion!
I had win2000pro and now xp and never froze up. I runned web server under 2000pro and had no problems. If your windows froze up- you have hardware problem. Yes the vegas will autosave, but you need to solve the problem. I am using few video editing software including Vegas and none give to me any problems.
Yes - dodgy memory is a common culprit in system instability. Try running a memory test from something like SiSift Sandra: http://www.sisoftware.co.uk - and making sure the memory chips are seated correctly.