Hi, I had the same problem that I couldn't load savegames, I figured out how to fix it with this thread, and I registered here to say others how to do it.
I have A new Pc, so Xp with Sp2 came standard so I think it's possible on any pc.
I have installed all files in C:\Resident Evil 2 and also located the savegames directory there, I got the msg "unable to find file" at first but I ignored it and it was just fine.
Then I set the compatibility mode on for win 98/me on 4 files, 2 on each cd: the shortcut in the main cd directory F:\Residentevil.exe (or something like that) x 2 and on F:\Register\ClaireP and on the other cd also LeonP
That's all ^-^