A few things to try, change the settings in your Video Card, maby the video card is forcing something the game doesn't like (like AA or AS) Also make sure you set all values to Lowest, I mean its a old game so all the new "extras" that make new games look awsome wont make a lick of difference
Look at your event manager and see if it will tell you what is causing the application to close, then at least you can narrow down the problem (like perhaps its a sound issue or a basic file link issue)
Change your Res to see if the game dont like a certain one
Shut down any background apps that might be causing issues
Also if your good with the registry you can change the shell of windows from Explorer.exe to ProgMan.exe it just a simple program manager that you have to set up first, it looks a lot like Win 3.1
Finally, you could always just pop an installation of Win 98 on there and dual boot the comp (this is what my friend does so he can play a few games he likes)
Look on the net, maby someone came out with a fixed exe or something that will make things work (a longshot but a possibility)
Anyway good luck with it, hope you get it to work, thief was a wicked game
I forgot, also shut off some services and see if that helps