@Wildkatz I had that same problem. But I know what the problem is. You only start on that floor if you use the Escape Wings. That's like an autosave right there. After using the escape wings and moving on, if you die, you will restart on that floor.
A hint for the mission that involves killing that girl in the window: Use the lightning to your advantage. The lightning will reveal the woman, who can be found in a black window. Also, don't use the Desert Eagle, you'll regret it.
This game does have potential. Has several problems that drop it from 5/5 to 3/5. First off, no hotkeys. Really starts getting annoying after a while. Second of all is that there should be an autosave whenever you go to town, as a lot of people don't tend to save. Or better yet, make save points in the levels so you don't have to leave every time something good happens. And as someone has already mentioned, the drop rate of items are patheticly low. You can't see through the trees so you can't see the enemies that could be lurking there. Please make these adjustments. This game would possibly be a 5/5 if you did.