Cleanup shutdown on Windows to avoid races.

Was still getting crashes sometimes.

Windows/EmuThread.cpp

@@ -130,11 +130,12 @@ unsigned int WINAPI TheThread(void *)
 
 	while (globalUIState != UISTATE_EXIT)
 	{
-		Core_Run();
-
 		// We're here again, so the game quit.  Restart Core_Run() which controls the UI.
 		// This way they can load a new game.
-		Core_UpdateState(CORE_RUNNING);
+		if (!Core_IsActive())
+			UpdateUIState(UISTATE_MENU);
+
+		Core_Run();
 	}
 
 shutdown: