Unfortunately Terragen 0.9 does not automatically save images or use any temp files when rendering. Closing down programs *after* you have rendered in order to save usually doesn't work. The only thing that *may* work is restarting, re-rendering, and keeping all other programs closed. Setting the render buffer to 5MB or so can also help on very large images. Reducing other detail in the scene, for example terrain size (if you are using 2049 or above), or various antialiasing settings, can help as well.
However you may simply be rendering beyond the practical limits of TG 0.9's rendering engine. On Windows it is about 11,500x11,500 pixels. On the Mac it can be much higher and you also have the option to render to disk, which can allow even larger images.