I play the demo (and the original game, Overture) on my two-screen setup and I notice that moving the mouse too quickly (which isn't very fast...) causes the mouse to leave Penumbra's fullscreen window and will sometimes (e.g., if I click) cause Penumbra to minimize itself, and then it doesn't want to come back up. But sometimes it comes back up fine. Sometimes.
Is this a quirk that has to do with SDL's mouse cursor management? SDL is nice but it's much better on Linux. (Speaking of which, I'm using Windows XP SP2. I doubt my hardware configuration has anything to do with this.