Ok if anyone is not seeing their save games appear then this might work for you - keep in mind this is the PC version bought from telltale games directly, not through steam.
I have windows 7.
go to c:\user\name\mydocuments\telltale games\the walking dead
right click on the prefs.prop file, select "properties"
then go to the "previous versions" tab.
select the version of the file prior to installing episode 3.
start the game and your saved game files from episode 2 should be visible.
As a precautio back up the prefs.prop file before that. Hope it works for some of you.