I am having the same issue. This is not a Steam download, but a Direct2Drive purchase. Thought I'd check here first for any clues.
The same issue as previous poster - the game WILL give me the CONTINUE option only if I don't shut the game down. If I do, then it starts me back at the tutorial mission every time.
BTW, didn't think I'd enjoy this as much as I do... weirdly addicting