new game? are you sure that's HL2 deathmatch? or single player HL2? or do you just mean the main menu? If so, that's wierd for it to go away, is there an error of any kind that you get once it quits because maybe you are running an external program that doesn't like the game. This happened to me with xfire and I had to get a patch for it.
I am having the same problem. When the main menue is about to show on the screen, HL2 disapears without any errors and Steam is still running. It has been happening for a few weeks, but I just havn't tried to fix it.
