Okay so when I first installed this game I could not get it to work without getting a Out Of Range error.
SOLUTION: Go to the folder where you have Penumbra Overture installed click Go Click Search for Files type default settings.
You will see a file called default_settings.cfg Right Click open with gedit.
Click search then click find type fullscreen then click find.
You should see this fullScreen="true" change it to false.
Then save the file.
Now Penumbra Overture will open in windowed mode and you can adjust the graphics settings to be the same resolution as your computer has then you can follow the instructions above and change it back to full screen mode by changing the statement back to true.
PROBLEM: Penumbra Overture default setting is 800x600 most people have a higher resolution than this which causes the out of range error.