I got to somewhere in chapter 2 and my savegames disappeared, writing this in case anyone else has the same problem (It happened with Gabriel Knight 2 as well).

I just copied the savegames from Users\jizmaster\AppData\Local\VirtualStore\Program Files (x86)\GOG.com\In Cold Blood\engine\linc\saves (Thanks to Namur for the location tip from the Gabriel Knight thread, would never have found that Virtualstore folder otherwise!) to C:\Program Files (x86)\GOG.com\In Cold Blood\engine\linc\saves, then run in Vista SP2 compatibility mode as admin (I don't know if both are necessary, maybe just one is enough).