Limbo works after just modifying one little thing. In the file C:\Program Files\Steam\SteamApps\common\Limbo\Settings.txt I had to change the setting "windowedmode" from "false" to "true".
After this small change Limbo works like a charm.
I must note that I installed Limbo through steam. So first install Steam (using the Crosstie) and from within Steam, download/install Limbo. After that change the setting and off you go. No loss in speed whatsoever.