This has been a recurring problem for me. I bought all three Penumbra games on Steam, and they downloaded fine, but when I try to launch them it's like my computer has a seizure. Steam says the game is running, but when I click on the window the screen flashes black and the window won't stay open (the sound works fine though, and I can hear the intro and load screen music). I have to force it to shut down with the task manager. Other times, however, the game has loaded fine and I was actually able to get more than halfway through Penumbra: Black Plague. This is confusing me because there doesn't seem to be any rhyme or reason for the continuous crashing.
I already updated my drivers, verified the game cache (it found over 100 bad files on Penumbra: Black Plague), disabled Steam Overlay, and uninstalled and reinstalled the games. This happens with the other two Penumbra games as well as Amnesia: The Dark Descent, so I think I just have a problem with Frictional Games in general. Is there anything that can be done about it, or should I request a refund?
It's most probably a problem with your graphics card drivers or specifically their OpenGL counterpart. Do a clean reinstallation of the latest graphics card drivers from the manufacturer website. Check the Graphics Card Troubleshooting Guide for help on how to do this. If this happens on Amnesia as well then it's best if you attach it's HPL.log as it's more useful compared to the Penumbra ones.
Here's Amnesia's hpl log. The most ridiculous part is, right after I posted the initial message, both Penumbra: Black Plague and Amnesia: The Dark Descent loaded successfully. Now it's happening with Outlast, but that's a different story.