I currently lack the resources to test your problem, but there is
this thread on a tutorial for XP that might help you.
Otherwise, sorry for the IT "on button" question, but did you press F1 and saved your game through the main menu and all, but then you loaded the game and then were unable to load your previous saved game, right? Did you try the option on the installer menu (the one that always opens first when you open GF, you know, the musical guys around the ash tray) that let's you run the game from your last saved game?