not sure if this helps:
Go to your task manager and see what's running. I've found that some anti-spyware programs suck the hell out of resources and want your undivided (or at least on the desktop) attention. Try them one by one and Psychonauts should eventually work.
To see different startup programs
I found this one useful to check out processes
......this all assumes you're playing on WinXP.
You may have to reinstall the game. I had problems with Oblivion starting up properly and eventually resigned to reinstalling it (yay! for it saving to another directory and keeping my mods!)