Could be any number of things causing it, does it say anything more? 'Jemm unloaded' is a pretty generic error/report it gives when exiting, especially when it crashes.
or it may be, like I usually found, that you're running a version of windows that doesn't support MS-DOS mode that well and has no CD-ROM support in native dos mode. Then it has to be added to the autoexec.bat and config.sys