BSOD screen allowed me to track the issue.
DRIVER_IRQL_NOT_LESS_OR_EQUAL
for file Pdhd2Wdm.sys
Address F6B933F0 base at F6B8B000, DateStamp 4ae94da0
This file is one of driver files for my sound card - Audiotrak Prodigy HD2
I've switched my old card to this one about one month ago. I have latest drivers installed and I doubt, there will be new drivers at least for some time.
I've googled for it, but I couldn't find any fix. I removed the card, then plugged it in again, reinstalled drivers, tried to turn it off an on, but I couldn't get rid of this problem completely. Good thing is that I've found workaround (which at least is working till now).
1. Turn off Prodigy HD2 Audio in Hardware Manager (no need to turn off Prodigy HD2 Controller, because it doesn't use this file).
2. Launch game and run new game or load save game (the one which you want to load later with sound).
3. Quit and turn on Prodigy HD2 Audio in Hardware Manager.
4. Launch game and run new game or load that save game accordingly.
I was afraid I won't be able to load games, but thankfully it is working with save games too.
@Hailstone001
I haven't tried your workaround, but it may be good for you to check, what exactly is causing the problem.
btw. it would be nice to have option for turning off intro completely.