I have this problem too. I suspect it's a sound card issue, but hey ho. As a workaround I've installed a fan-made game launcher which is available from the downloads section of www.grimfandango.net
. It doesn't fix the issue, but it does let you load the last saved game instantly, which means you can play the game, and only open the options menu when you need to save and quit. Unfortunately on my machine it won't let me have any conversations with people, but maybe it will work for you. Hope that helps!