I bought all five episodes recently on the steam sale. I've been playing through them and just finished episode 3 when I tried to load episode 4. It opens and starts to load, the flux capacitor loading logo shows up in the bottom right. But then it just crashes, with the typical "BackToTheFuture.exe has stopped working" error.
Episode 5 launches, so do 2 and 3. However, episode 1 has the same problem.