I think that's what happened to me. Are you playing on steam?
My exact scenario is this: I bought the game on steam after episode 2, downloaded it on my new computer shortly after episode 4. After I exited the game about halfway through episode 2, it didn't look like any progress had been saved. It was annoying but I was able to play though the episode when I hit "play" on episode 2 normally. Then, I tried playing episode 3... no dice. So I went on the forums and found this thread:
http://www.telltalegames.com/forums/...ad.php?t=32666
I don't know if you've tried it but it worked for me. It's a bit of a pain in the ass because you need to do the fix before starting up the game every time you play, but it works.
If that didn't work, I'm not sure what to tell you. :/