It's likely that the game is trying to save your configuration settings and failing. Try checking whether or not the files in your CoD4 directory are write protected or not. By default, Steam installs CoD4 to:
C:\Program Files (x86)\Steam\steamapps\common\call of duty 4
But, this may vary depending on your Windows version, 32/64 bit, how you installed Steam, etc.
You will want to at least check all of the .cfg files, although one person had better luck making sure that all of the files in that directory are not write protected.
Some people speculate this is an issue with file permissions caused by the filesystem changes in Vista/Win7, although others have reported issues with Windows XP as well.
For reference, there's a help thread on the Activision site for this, but I doubt that the suggestions there would help.