I bought it a while back when Steam had the whole thing for $5 and I didn't get a chance to touch it until now, then I found out none of them work.
I tried all the episodes, they give the same thing: launch 'em, Steam says it's preparing to load, then the loading disappears and it's as if I didn't start the game at all.
Occasionally it would show the update news screen like as if I had just closed the game.
Then when I check the task manager while I load the game, it shows that the game is running for like a millisecond before closing down.
There was a thread earlier that had a prefs.prop file that was said to aid the problem, it didn't for me.
I even reinstalled Steam along with all of the Strong Bad games, no dice.
Yes it's only $5, but still I paid $5 for a GAME. A GOOD game at that. I'd sorta like to play it.