I had a very similar experience on pc win7 64bit. Finally found my episode 2 files under users\me\my documents\telltale games\the walking dead\syncfs\data
I copied the contents of walkingdead102 and pasted them to the telltale games folder in C:\Program Files (x86)\Telltale Games\The Walking Dead\GameData\Pack\default
I can now play ep2!
Who would know that playing a game could be this exciting before you even play the game