Just that single command bombs it out?
Does the demo program (with the racetrack) work at all?
Make sure you have the proper NGCollision.dba file included and proper NGCollision.dll file in the same folder with your EXE.
If you're working with your own models, then there's a high chance there's a problem with the model format. DB does not properly load certain models and feeds the DLL a buffer full of garbage and crashes it. This happens often with .3ds models.
Passed that I'm not sure. If you're using DBC then not many things could be causing the StartCollisionPRO() command to crash all by itself.
If none of those work, do you mind providng your system specs?
What version of DirectX do you have installed?