I've never had a pen or a play pen, but Tink cried when I put her in her crate the first week. I just ignored her completely, and after a week she stopped. But it was tough!
My poodle never stopped crying and howling when he was crated and he had a nice big crate to play in. Nothing made him stop, so I finally had to stop crating him after a month - he broke two teeth off trying to get out!!
Then he was fine and never messed in the house or hurt anything. Weird.