OpenAL is a library with functions that Penumbra needs to be able to play audio and communicate with the sound card in your computer. It's a common library and it is likely that another game already installed it as well, however as most software the library is constantly updated. The OpenAL installer that comes with Penumbra is the latest available as of March 2007.

If you want to check for a newer version, visit http://developer.creative.com/articles/article.asp?cat=1&sbcat=31&top=38&aid=46

For more information on OpenAL, visit the official site.