That error is generated when windows is told to run a set of instructions from an area of memory that was not designed to run instructions from.
Back in the older days (and still present now) you could send a really long address name for a web page into internet exporer (and other programs) that would overflow the buffer and overwirte parts of the program. When windows trys to run the program normally the overwirtten code is executed and BANG your PC is now running code that was never intended to be run, basically you will have a virus or spyware on your PC. The blaster worm did the same but sent the instruction to the PC via the internet to a program on your PC that was listening for connections.
DEP gets around this by marking that buffer as NON EXECUTABLE, this means if the program tries to run it, windows stops it and causes the program to terminate before any damage is done.
If you are getting it with one program then contact the supplier to inform them of the problem or add them to the ignore list. If you have the default settings for DEP in windows then it only protects core operating programs and should never appear. I have had it once or twice while trying to recover from a crash though.