Posted this on steam forums as well under my steam id. A little long on the lead because I only just picked up the game.
If anyone else was having issues with even getting into the game, it looks like it is due to the fact that STALKER: CoP is not compatible with the Steam in-game overlay yet.
To get yourself into the game, in Steam, go to File->Settings, then click the [in-game] tab.
Uncheck the "[ ]Enable Steam Community in-game" box.
STALKER:CoP should now run.
Note: this only fixes the problem where you can't even see the loading splash screen, not the in-game issues others are posting about.
$0.02: This is kind of a HUGE oversight here...you'd think someone would have checked that Steam Community worked before putting CoP up on Steam. :/
^D^
"Never start a fight, but always finish it."