Favourite curse used by hackers. It is used similarly to word 'Fuck'. It can be anything from crashed program, through run away bus to earthquake mixed with tsunami, ion storm, hurricane and meteor impact.
The noun "sax" can refer to the entire saxaphone family of not-so-musical instruments, and generally refers to the most common "sax", that being the alto saxaphone. It was abbriviated in order to not be so long as to confuse the already-addled minds of those who actually enjoy playing the instrument.