I as well crash at the loading screen. Considering your system specs, those of the other fellow having this problem, and my own, I very strongly suspect this is an issue with our old Athlon Thunderbirds and their lack of SSE instruction support. This is the case for most (all?) old Athlons in the 1.0-1.4 Ghz range; they simply have no support for this instruction set and thus any game that uses them in some manner crashes.
I say this because I have seen similar crashing problems in many recent games & their demos, including the newest Splinter Cell, Full Spectrum Warrior, and Brothers in Arms. In each case, the problem has, to the best of my knowledge, been traced to Athlon Thunderbirds and their lack of SSE support, and I suspect it is an issue that will only pop up more and more for us CPU dinosaurs in new releases.
It's hard to say if this is a problem that can be fixed on the developer's side at this point. Brothers in Arms was able to quickly patch up so that those with Thunderbirds no longer have any issues, but that was because SSE usage was confined only to a small element of the physics engine. If the use of this instruction set is extensive in the Psychonauts code, such a solution may not be possible. It's a bit unfortunate for us I suppose, but eventually progress must be made and there can be no fault directed at DoubleFine for not taking into account a quirk in an old series of processors that have pretty well past the point of long in the tooth for a while now.
But who knows, perhaps this is in fact another issue entirely and all of the above is irrelevant. Maybe there's someone out there with an Athlon Thunderbird who is not having any problems? My basic specs, for reference:
Athlon 1.4 GHz
Geforce 4 Ti 4200
512 MB RAM