I found that doing this for some reason helps.
right-click the game's executable, click Properties, click the Compatibility tab, and then check the options to run in compatibility mode for Windows 98/ME. Also check the option to disable desktop composition.
mine was set on (windows XP SP3) Seems Windows 7 works if you don't like the idea of running it on Windows 98/me.
Find it in the steam forums about walking dead.
P.S you still may have to run it as administrator
Edit: Now that I've finished ep1 like I did week before it sent me back to the starting streen. Ones I hit (click to continue) it started connecting and it never finished loading. Left it to load for over a hour and it didn't get to the menu for me to play ep2. I really think this games core system is messed up or the new ep is breaking something some how. I wiped my saved game and it loaded up the menu in a second after hitting continue. So something is up with the game saving or keeping track of the choice we make. : / take's the point out of the game when I can't even keep my choices from ep1 to carry over into ep2.