Hit the ESC key and if you can see anything, try setting your graphics settings lower.
Make sure your monitor's plugged in the electric outlet and/or your computer because I'm just SURE you tripped over it between starting Psychonauts and the opening screen.
Read the FAQs and tech support to make sure there are no known conflicts w/your video card.
Disable other graphics intensive stuff in the background. No you should NOT play Sims 2, Spore, Oblivion, AND Psychonauts simultaneously.
Call Tim Schafer and George Lucas until their ears bleed.