Thierry, I have had this problem too! It happens to me when I add custom widget menu items. The first preview works fine, but after you close the preview and then try to preview again, InfoPath totally crashes!
I tried to make a repro of this bug so that I could submit to Microsoft, but when I created a new blank form with custom widget menu items, it did not crash. Like you said, this is very strange and I don't know why it's happening. Please send me the form over e-mail so we can collaborate and maybe get to the bottom of this.
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge