For those who are having issues with downloading Episode 5 (and are using the telltale download of the game) here is a solution that works just fine. It's also a way to not lose your saved games if you haven't (potentially) screwed the files up already.
First thing: Go into your my docs folder, change the Telltale Games folder to any other name.
Ok, run The Walking Dead. You should now be able to download Episode 5, though the other episodes will no longer be installed. Don't worry about that, doesn't matter.
After you've downloaded and "installed" Episode 5, go to start a new game. Get the point where you'll see your saved games, but ALAS! They're gone! This is, at this point, due to you renaming the game folder.
Mkay, exit the game. Go back into your my documents area. Now, you'll have to do some copy/pasting.
Everything from the original telltale games folder you renamed... copy all those files into the new telltale games folder the game created when it couldn't find the old one. If it asks to overwrite make sure to say yes or yes to all.
Once you've done this, you should be able to go back into the game with all 5 episodes installed (unless you didn't have them all installed previously for whatever reason). Also, your saved games will no longer be missing.
This is a solution for someone who has yet to try to do anything at all. I see a lot of people angry that their saved games are lost. I made a backup of my telltale folder before attempting this, and I came across the same issue with the saved files vanishing. I think it has something to do with the saved games getting "overwritten". It's like the game has something like a file that tells it okay here's the saved games...and when you do a workaround it overwrites it, thus telling it there aren't any saved games. I don't know how to fix this, as I made a backup before I even started trying to find a workaround. Hopefully someone comes up with a fix, but at the very least follow my instructions here and you should at least be able to play the last episode.
Lastly, what in the HELL. The way video games are made these days, especially these Telltale episodes...pathetic. I shouldn't have to find a workaround to install a game. When I go to the store to buy a toaster I don't have to invent my own way to plug it into the freaking wall. Really unprofessional.
Anyways, I hope this helps some of you! Let me know if it did.