I'm running Windows Vista.  I downloaded and installed the World of Goo Demo.  When I start it, the resolution switches and the screen goes black, and then a second later, it switches back to my Windows desktop with a World of Goo program in the taskbar.  The music starts playing.  If I click on the taskbar button, the screen flips to black for a second and then back again.  All I can do is right-click on the taskbar button and close the game.

I've started from the installer's "run now" checkbox, from the desktop shortcut and from the start menu with the same results.

Had the same problem on XP. Found that by clicking the mouse button while it's starting prevents the problem