Dink can pick a thing up simply by walking through it.

I believe your problem might be that you pick the "wrong" item. It's a very common problem for the beginner because the pig feed does not look like a pig feed. It looks more like a tombstone! It's right inside the very first room that Dink appears. It's around the upper right corner of that room. After you pick it up, you can "equip" it by hitting Enter key to go to menu screen and using arrow keys to change the selection square, then hitting Ctrl to equip the item you highlight it, andd then hitting Enter key again to go back to main game screen.

Enjoy the game. If you like it, don't forget to go to Dink Network to seek out more fun.