I'm having the same issue.. I'm running the game through Steam and getting a windows crash error saying windows has encountered an error with metro2033.exe and must close.
I have tried restarting Steam.. No help
I have tried restarting Windows ( I have XP) .. No Help
I am now redownling the game to reinstall and see if it works I will keep you updated.
IN the mean time, tell me if you get it to work please.