I just downloaded The Stanley Parable Demo from Steam ... Everything was running fine until I clicked Start Game, after that, a loading screen came up and it took me to a black page and wouldn't change. I don't know what is wrong.
I know this question is old and maybe already solved, but just for others out there reading this:
I also had the problem that I could only see the menu background and nothing else. No reaction to pressing keys or clicking.
Just exit Steam and restart it again. Then open up your game. Should be fixed now. :)
I had this problem as well. In my case it was some weird corruption on my steam client -- I deleted a file and it worked. Not finding it right now but this link may help.