This seems to happen when some files haven't properly downloaded. To check this, follow these instructions:
- Close out of Steam completely.
- Restart Steam.
- In Steam, right click on the game's title.
- Select "Properties"
- Click on the "Local Files" tab.
- Click on the "Verify Integrity of Game Cache..." button.
- This should identify and replace any missing files, and your game should work after the fix. (This should report 1 missing file. This is not a problem and is document by Steam here.)
Additionally, you can try to manually install Direct-X. Find the folder where you installed OMD2. It should look something like this:
D:\Steam\steamapps\common\Orcs Must Die 2\installer
Find the file called "DXSETUP.exe" and double-click it to run the installer. After it's completed, restart your PC and relaunch the game to see if that fixed the issue.
It's possible an antivirus program is reporting the game as malicious and silently shutting it down. Steam has good information on this here.
If you are using Windows 10, please check this article as well.