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Hello and welcome to the boards - We can certainly try.

Can you be more specific?
What gfx card do you have? Have to installed the latest gfx drivers for them?

Which portion of the game does this occur? What object and in which room/area?

i have GeForce 6200 FX (i think is a good one for this game), 1 gb RAM DDR and AMD Sempron 2.4+ GHz.

it doesn't matter where i am, when i'm picking an object, don't matter from where, the game exits automatically.i tried the tutorial mode because it is a long time when i played the first penumbra and when i needed to pick up that box the game exited.i tried also to begin a new game but i needed to pick up something, i don't remember what and the game exited.
 
Heres a list of the verified gfx card specs:
- http://support.frictionalgames.com/entry/29/
Your card doesnt look to be listed... but that doesnt mean the end of the world
Would be an idea to ensure that you have the latest drivers for your card installed.

Here is a link for offical patches:
- http://support.frictionalgames.com/entry/71/
It may be an idea to install the FULL patch for Penumbra: Black Plague (I assume thats the version you have and are playing).

There is an official FAQ here that may help you track down the problem:
- http://support.frictionalgames.com/entry/69/
If that doesnt do the trick, report back and Ill see if I can track down the issue more specifically.

Alternatively, you could try searching the developers site here:
- http://frictionalgames.com/forum/forumdisplay.php?fid=26

Dont be afraid to post back with more specific questions, should they arise.

Good luck