Just to add for my problem... I found the hpl log ( ~/.frictionalgames/Penumbra/Overture/hpl.log)
and its the following
-------- THE HPL ENGINE LOG ------------
Creating Engine Modules
--------------------------------------------------------
Creating graphics module
Creating system module
Creating resource module
Creating input module
Creating sound module
Creating physics module
Creating ai module
Creating gui module
Creating haptic module
Creating scene module
--------------------------------------------------------
Initializing Resources Module
--------------------------------------------------------
Creating resource managers
Misc Creation
--------------------------------------------------------
Initializing Graphics Module
--------------------------------------------------------
Init low level graphics
Setting video mode: 800 x 600 - 32 bpp
Init Glee...OK
Setting up OpenGL
Max texture image units: 16
Max texture coord units: 8
Two sided stencil: 1
Vertex Buffer Object: 1
Anisotropic filtering: 1
Max Anisotropic degree: 16
Multisampling: 1
Vertex Program: 1
Fragment Program: 1
NV Register Combiners: 0
NV Register Combiners Stages: -1073750060
ATI Fragment Shader: 0
Creating graphic systems
Creating Renderer2D
ERROR: Couldn't texture 'PointLight2D.bmp'
FATAL ERROR: Couldn't load PointLight2D
So it might be a video card problem?
I have an Intel GMA 4500MHD
Is that it?
Thanks