Found this fix on Steam Forums:
Hello, many people have had crashes when attempting to play this game. The symptom seen is when clicking play, you get a crash in walkingdead101.exe.
There are two main fixes that seem to be working for people.
1) find your walkingdead101.exe executable in someplace like C:\Program Files (x86)\Steam\steamapps\common\the walking dead
Right click the executable and select compatability tab up top.
Click checkbox for "run this program in compatability mode for"
and pulldown menu for Windows 98. ALso check run as administrator.
This didn't help me but the next one did:
2) Disable your internet network in some way before starting the game.
Sounds like it wouldn't help but it let me run the game without issue.