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Does it only crash when you approach Gilgamesh's room? Usually if it's a situational crash like that it's related to a corrupt data file and usually requires a file check/reinstall. However, I'm not 100% sure of the exact reason why your game crashes.

To answer your second question, to save your macros/settings to POL servers, at the character select (for the character you wanna save macros for) hold Alt + Ctrl + Shift and hit B. To load them do the same thing except with the letter R.