Ugh, Thief: Deadly Shadows. This game is kind of a buggy mess. I played about 75% of the way through it before I finally gave up. On my system, it would crash to desktop about 2/3rds of the time when launched.
When you have a debugger installed (ie, Visual Studio), and a program crashes in ways that tend to indicate programming bugs, the OS assumes you are savvy enough to want to know why that happened. So, you'll get a far more detailed error message than normal, and the option to debug it in Visual Studio. Of course, since you don't have any of the debugging information for the game's compiled code, and you aren't familiar with the game's internals anyhow, this isn't actually useful to you and can be ignored.
Is your system multi-core? If so, you have to set the core affinity for the game or it won't work, period. Beyond that, another solution that worked for people was changing settings with T3 Tweaker, like disabling the loading screen tips.
On the whole though, I wish you the best of luck - this game was rife with bugs when it was released, and the intervening years have not been kind. Compatibility with contemporary hardware/software was iffy when it came out, and compatibility with today's hardware is downright poor.