First I want to say, great software! However, I noticed a problem. If the theme has embedded a flash player from ustream.tv, WLW will crash when previewing. If replacing the local url with the online url for the embedded flash in the downloaded template files, it doesn't crash.
We do download all the content so offline previewing works. Have you tried upgrading your version of Flash. This is most likely a problem that causes Flash tro crash, which causes IE to crash, which then finally causes WLW to crash.-Brandon Turner [MSFT]