I do believe that the telltale team will or are working on resolving the problem as soon as possible, but in the meanwhile people already found a way to get it working with a semi-annoying side effect.
Due to the problem, it has to just deal with the steam and the actual executable not working properly for the current windows. I don't know why it changed after episode 3, but it has regardless of the reason. So to fix this for most people it involved just running it offline mode through steam or the executable. Few people got it to work like this.
Another way is to check if both are running with administrator. If this helps then you are good to go. Other than that there are two other outcomes. You need to set your compatibility towards windows 98/me and work with admin. This allows you to play the game if you are lucky, but there is a side effect of making the game stutter making it sometimes hard to deal with in the game.
The other outcome is perhaps your copy of the game is corrupted, mistakenly fake, or just not installed correctly. Attempt to reinstall after making sure you uninstalled it completely to make sure it's fresh and ready to play.
If nothing of this works then you are with the large group of people that are waiting for this problem to be fixed. I'd suggest to be patient, but I can understand your frustrations. I'm a customer too, I love the game, and I would love to continue the story like you guys and gals; but stuff happens and they are probably trying to fix this problem asap.
Also if you are playing the game with no troubles or with the fixes above, but your save are not working. That is another problem that isn't due to the problem above I believe. I think it's just how the saves work and it's fairly clumsy. Short story to save you some time, go to your documents and find a folder named Telltale Games. You'll find your saves and folders in there for data. Find the piece of information named prop.pref and copy that into your steam walking dead folder. That should be at C:\Program Files\Steam\steamapps\common\the walking dead or wherever you place your steam folder. Paste it right there, or if that does not work go into Pack\default folders in that order and paste it there. This will make it so your save file will be loaded at that episode and will keep your preferences like windowed or resolution size intact.
Other than that there are multiple different locations that your prop.pref file would be at since it's a bit buggy. I'd just look around for it in the usual data storage areas and then attempt what I suggested. Others found a way of working different problems on this board, but these are some that I discovered after coming back to the game from vacation. Anyways I hope this helps and please be patient. Hope that this is all fixed AT LEAST before to when the next episode is out. Cross your fingers.