Video->Compression is the right place to set up the codec you want to use. But if you have a bad codec installed on your machine when VirtualDub goes to show all the available codecs it will crash. The problem is figuring out which codec is causing your problem and disabling/uninstalling it. I'd start by looking at the crash log that VirutalDub should be making(it brings up a dump of the crash at least my version does, I haven't updated it in awhile though), it might give you a clue to the filename of the codec. (Assuming your running XP) Then I'd go into the control panel choose "Sounds and Audio Devices" on the hardware tab is a list of devices at the bottom should be "Video Codecs" bring up it's properties and go to the properties tab. This should give you a list of installed codecs. One of these is most likely your problem. Figure out which one it is and remove it. You might also want to try reinstalling media player from Microsoft. Or even uninstalling Media Player and reinstalling. Worst case remove every video codec, reinstall media player and then install Divx again.

-Matt