I have gone through the game many times on psp and a few on ps3, I have never had this problem.
From what you described it sounds like you've gotten on the first ledge and are trying to jump up to the ledge under the door... should be as simple as the instructions say, as long at you're under the next ledge. Usually kratos will not jump if theres no ledge to move to.
Try restarting the game. You're near the start so it shouldn't be much of a hastle.
Maybe your doing something wrong, maybe you have a bad disc. You could try exchanging the disc for another.
I know some games have bad copies, like god of war 2 has a glitch where it skips a sequence where you bring the horse statues to life making it impossible to continue.
