Why can't you leave that room? What happens when you try? I've never read about anybody having this problem before. lol
only things to do are...
1. make sure your system can handle the game...most new comps can handle it even with the worst system specs
2. run as admin & windows xp sp2 compatibility
3. set processor to run game on 1 core only (open game to menu screen & minimize game and open task manager, find sh2pc.exe and only have 1 core checked
The game should run flawlessly. Some people might need the patch but running the game on one core seems to fix all issues without the patch.
If this is your first time playing the game then the exit is next to the mirror where James stands at the beginning cutscene.