A tab will pop up that is called, "Problem Report" it says I can send a message to the creators but either way it exits out of vegas. I use a thumb drive for my media if that is a problem...
"I use a thumb drive for my media if that is a problem..."
While using a USB device may not be your problem, it's not the best option. My fastest USB disk runs about 1/5 the speed of my slowest internal hard drive. While your media may not tax the throughput of the USB device, the latency just plain sucks.
Copy all the assets from the USB device to an internal disk and report back.
Please state your Vegas Pro version and describe your media.