Ruud,
did you change something in the way you save a game? Here is what happened to me:
I opened an excisting .sdk file and started to solve it. After some time I saved my current position. I selected File -> Save As and got the dialog with "Sudoku Game Progress" as filetype. The filename was still .sdk (I didn't realize that at first), not .sdx. I was asked if I wanted to override the excisting file and selected yes before I realized that there could not have been a previous game progress, only a setup file. I looked at my files and indeed there was no game progress file, only the .sdk file. I reopened that file and all my solving steps had vanished. If I recall it correctly that didn't happen in the older version.
There is NO problem when I manually change the extension to .sdx!
My system: Windows 98 SE
Thanks in advance.
Peter