This is the first major problem I've encountered with the game so far. I'm doing a re-play of the game. My choices carried over just fine between Episode One and Episode Two. However, when I got to the final choice in Episode Two with the Station Wagon, I decided to stick with Clementine's opinion.
When I started Episode Three I did not get any errors, or warnings; It started up like it should. But when the "Previously on The Walking Dead" cinematic started playing all my choices in Episode Two shows up like they should, EXCEPT for the final choice. It did the complete opposite from what I decided to do. I tried re-playing Episode Two from the final checkpoint but still it refuse to save the final choice on that bloody episode.
One thing I found out of the ordinary was after the Episode Two credits. The game should send you to the 'Click anywhere to continue' start screen after finishing an episode. It don't do this for me, it sends me straight to the main menu after Episode Two. It don't save the final choice...
I also ran the support tool: http://www.mediafire.com/download/s8j8djccjl2uvfn/support_data_pc.zip