Hi,
This does happen to me sometimes, I'm guess that sometimes when an exception is thrown in one of the early events then the preview fails and the only way to recover is to restart Designer.
Try going to the temp directory, just type "%temp%" (without the quotes in the Windows Explorer address bar), you should see a PDF file with a generated name something like, _12fk26d9o1adb71lh.pdf. This is the file Designer generates when trying to do a preview. Open this file in Acrobat (with the "When Exception is thrown" option set to break) and you should see what is causing the exception.
Good luck
Bruce