I have a very similar problem to sirk, in my case the error is "penumbra.exe caused an EXCEPTION_ACCESS_VIOLATION in module ntdll.dll at 00B1".
I'm using the Steam version of the game, and according to
http://forums.steampowered.com/forums/sh...p?t=893238 then at least one other person has the same problem.
I don't seem to have a My Documents/Penumbra directory. I'm using Vista (Home Premium) and I've moved my Documents directory to a non-standard location (so it's on a second hard drive). This has caused problems with some games in the past, is this likely to be the issue here?