I purchased the game last night from the Telltale store. I do not have the steam version of the game.
I played for roughly an hour last night and then I clicked on ESC and was going to try to save the game. I then clicked on "Settings" hoping save was located under settings but Episode 1 started completely over. No matter which of the 4 choices I picked under there I think it is: Play, Settings, Main Menu or Exit Game it always went back to the start of episode one.
So, I had to use task manager to shut down the program and I restarted it. When It came back I still only had the autosave for the Start of Episode 1. I did find where I had several save files in my documents but for whatever reason the game will not allow me to select any of them.
Again, I do not have the Steam version of the game so any paths you might use will only help me if it isn't the steam version.