I've tried importing .csv and open document as well as .txt files and
every time PSPP automatically closes.
I guess you are using a MSWindows build. This behavior was reported before when a newer build was installed on top of a pre-november-2013 build. It is stated in the readme that you should uninstall a pre-november-2013 build before installing a newer version.
Just remove the complete pspp software and install again to see if the problem persists.
Besides, changes your files to .ods files or setting odf as default (http://www.ghacks.net/2010/07/08/configuring-default-file-types-in-microsoft-office-2010) looks much more what you need. After this you can change your files with Microsoft-Office and read them with PSPP. Of-course dumping MSOffice and using LibreOffice or OpenOffice would be an even better choice.