It looks like somehow your Knight Death sound got deleted, which caused a problem when a Knight died nearby. This should actually be relatively easy to fix - you simply need a file with that name to play, and the error should go away. It doesn't have to be the original sound. You'll need to go into your Knight folder - under Civilization III\Art\units\Knight, wherever you installed Civilization. You can simply copy one of the files, paste it, and rename the Copy of KnightAttackGrunt1.wav (or whichever one you copy) to KnightDeath.wav (note the lack of spaces). It might sound a bit odd when the Knight dies, but it should solve the crash.
The latest autosave should contain the previous turn's auto-save file. Just do NOT start another game before you load the auto-save and save it as something else - that will delete the autosave.
Ultimately, you may want to re-install Civ to get the Knight death sound back, or at least copy the death sound of a similar unit (Horseman perhaps). But the above ought to get the game working again.
Oh, and a heads-up - keep the language family-friendly. You'll likely draw an infraction of the rules otherwise.