I bought the Morrowind: Game of the Year Edition on Steam, and installed it in Windows 7 on my laptop.
When exiting the game, I would get a black screen. If I alt-tabbed away, I would see a “Morrowind had stopped working” error.
I appear to have fixed this by going to my Morrowind folder, right-clicking on Morrowind.exe and Morrowind Launcher.exe, and setting the Compatibility Mode on both executables to “Windows 2000”. (I first tried Windows XP SP3, but Steam refused to launch the game when set to that).