Since the OP seems to have vanished I'll hijack this because I get the same problem and I found something that worked for me.
0.1.1 (Feb 10 2013 21:59:36)
0.2.0gite729ab6 (May 23 2013 22:37:43)
Software or OpenGL:
I get the following in the text window when I run with HW rendering:
User picked target 'grim-win' (gameid 'grim')...
Looking for a plugin supporting this gameid... Grim Engine
Starting 'Grim Fandango'
WARNING: INFO: GL RED bits: 8!
WARNING: INFO: GL GREEN bits: 8!
WARNING: INFO: GL BLUE bits: 8!
WARNING: INFO: GL APLHA bits: 8!
WARNING: INFO: GL Z buffer depth bits: 32!
WARNING: INFO: GL Double Buffer: 1!
WARNING: INFO: GL Stencil buffer bits: 8!
I have an ATI Radeon HD4850 card with driver version 220.127.116.11 (Microsoft WDDM 1.1). Perhaps that has something to do with it.
What worked for me was to use software rendering. Just make sure you don't have override in the game options, that threw me off at first.