Sometimes I'm just too sleepy :)
It's a known problem and usually happens on Casios with 32 MB of RAM.
On 32 MB devices, make sure to have more than 15 MB of free program memory before starting MAMEBoy. It's a bug of an unknown nature.

> I tried to download both the MAMEboyX and the MAMEboy1.3 for my Casiopeia E-125
> and I couldn't get eith of them to work. They both caused an application
> internal run error and shut down (didn't even start) What am I doing wrong? I am
> running Windows CE Version 3.0.9348. I put the entire E-125 folder into the
> program folder on the PDA and it didn't work.
>