I've finished both episode 1 and 2. When starting the game today to FINALLY play episode 3, the game only showed a savegame stating 'episode 1'. It looked like the game didn't save anything from episode 2.
In the folder containing the savegames (C:\Users\YOURNAME\Documents\Telltale Games\The Walking Dead), there were .save files that corresponded with episode 2 (save_11 - save_28). Apparently the game DID save the game (hence the files being there), but it isn't finding it for some reason.
The game reads the prefs.prop stored in X:\Steam\steamapps\common\the walking dead\Pack\default . Copy your prefs.prop file from the my documents folder (C:\Users\YOURNAME\Documents\Telltale Games\The Walking Dead) to the steamapps folder.
This is probably caused by a register error telling the game to read/write the prefs.prop file stored in the steamapps folder.
Note that this means you'll have to do this every time you restart your game!
tl;dr : Take a look in this folder for a prefs.prop : X:\Steam\steamapps\common\the walking dead\Pack\default
PS. I made this thread in the discussion forum too to help as much people as possible. A fair trade for Telltale not helping AT ALL.