For those of you experiencing issues with saved games and episodes saying "coming soon" when they've been downloaded, you may want to give this a try. This fix is for a Steam installation, but you may be able to modify it. DarkSoroush's thread was helpful but confusing and, anyway, didn't fix my issue. Took me three hours of messing around, but his solved my problem.
The source of the problem is that there are multiple prefs.prop files and the game doesn't load them correctly. If you don't want to delete these extras (and maybe you shouldn't to be safe) just copy them to some other folder. Or, if you want, backup all Walking Dead files found within My Documents and Steamapps.
1. Find the prefs.prop file in My Documents > Telltale Games > The Walking Dead. THAT'S THE ONLY ONE YOU'RE GOING TO KEEP.
2. Go to Program Files (x86)\Steam\steamapps\common\the walking dead\Pack. There may be multiple prefs.prop files in these nested folders. In my case, there were three. Delete them all.
3. Restart the game and play it from whatever point you were at. In my case, it was a few checkpoints back from the end of Episode 4.
4. Once you've finished Episode 4, it will probably say that Episode 5 is "Coming Soon." Close The Walking Dead. At this point, I copied (not cut) my prefs.prop file from My Documents to C:\Program Files (x86)\Steam\steamapps\common\the walking dead\Pack\default. You may not actually have to do this. I was so muddled trying to get this fixed that I was just trying stuff.
5. In Steam, right click The Walking Dead, go to Properties, Local Files, Verify Integrity of Game Cache. The verification will find a problem and download some game files. Non-Steam users, at this point, you may try a re-install. I genuinely don't know if that will help you.
6. Steam users, at this point, you should be all set. Open The Walking Dead and you should be able to start Episode 5 with your full story chain.
If these instructions messed up your story chain... well, geeze, why're you doing what some random Internet stranger tells you to do?