If you are having issues importing your Season 1 save, it might be because Season 2 is installed into a different folder.
(Windows7)
Here's what I did to fix the problem.
Go to: C:\Users\Public\Public Documents\Telltale Games
Copy The Walking Dead folder and paste it to: C:\Users\name\My Documents\Telltale Games
Just merge the file you pasted with the other The Walking Dead file (if there is one) and replace anything that asks if you want to replace it and you should be able to import your season 1 save.