I was having a terrible time getting this game to start at all, couldn’t even get an error message. Finally, after 15 minutes of googling, I found a fix. This problem occurs when a game controller is connected to the PC. In my case I use an Logitech controller (with wireless adapter) for my PC.
Download DINPUT8.DLL from here: http://www.dlldump.com/download-dll-files_new.php/dllfiles/D/dinput8.dll/5.03.2600.2180/download.html
Place this file in your install dir for The Walking Dead (C:\program files (x86)\steam\steamapps\common\the walking dead)