Hi there! Sorry about the menu confusion. Hopefully I can help. I don't have my PS3 handy at the moment, but here's the visual process from my PC (it's nearly the same).
[1] Starting from the Walking Dead main menu, select "Play."
[2] This will take you to the episode select menu, which has three save slots. Select the save slot with the completed Episode 2 playthrough.
And now, two scenarios:
[3a] Assuming your Episode 2 save slot was flagged as "complete" (meaning you initiated the credits after viewing the stats screen), the game menu is supposed to auto-scroll to Episode 3. Then all you have to do from there is press "play" and Episode 3 will launch.
[3b] If this auto-scroll to Episode 3 didn't occur, you'll want to confirm that your Episode 2 screen is flagged as "complete" by looking for the "STATS" option. This option only appears on episodes the player has completed by triggering the game's credits. If that's all in order, on your PS3 controller, tap the "R1" shoulder button to scroll right to the Episode 3 screen. Then follow the directions listed in step [3a] above and select "Play" to launch the episode.
Hope that helps!