First off, I'm on Windows XP and I have Service Pack 3 (can't recall if I have 2, as well). To the best of my knowledge all my drivers are up to date.
Anyways, I ran episode 1 just fine, although I had to turn the graphics setting to 3 for some reason. But when I went to play episode 2, The Last Resort, all I'm getting is a white screen.
I can hear music just fine and I think clicking on stuff is possible, however I can't see anything, just the aforementioned white screen.
Edit: Can't attach the dxdiag readout, the forum's file limit is far too small.
Edit: Here is the dxdiag file.