I start in the training room (prologue).
I can see me and a Trainer - everything else is black. Can't see room - no textures. Guess something is wrong.

What to do?

And how do I walk - hold left mouse down? Does not work either.

Post your system and hardware specs, plz. Sounds like a driver or affinity issue with the OpenGL render. I'll assume you've installed the Critical Rebuild for your native language which adjusted some video specs for a few of the popular cards that were being used at that time.

When that happens, usually saving the game and then reloading solves the problem.