Are you trying to play SHN files or something else ?
If you're not trying to play SHN, you may want to go to Applications/Utilities/Console and open it up. If Cog appears in the thread which opens, see at what point it gave up the ghost. If it doesn't appear there you could click the triangle next to ~/Library/Logs and then CrashReporter. If Cog is listed here, what is reported will almost certainly mean nothing to you but it will help if you post it along with a bug report
here
Also, make sure you delete the default playlist which is located: Users/<your user name>/Library/Application Support/Cog/default.playlist
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