Na, nothing weird... your just out of memory... system RAM, application limit... too bad it's not a 64bit application... but then still, you might need 16GB RAM to be able to pull it off.
Skyrim eats my whole memory away... I done some more testing and it's able to eat away ~6GB of RAM on loading a game. Memory handling is not so great. Instead of moving everything directly into VRAM it seems to be loading everything into RAM first. I have 8GB total, when I have 5GB left, I cant open some of my saves. When I clear my mem using something like MemCleaner I can suddenly open my saves.
I have been monitoring my available memory instead of relying on TESV.exe's memory usage, and Skyrim is using up a lot more in the background then it lets you know. Pretty sure it's DX9 doing it.