Yeah; the bad news is that ScummVM doesn't fully support Full Throttle yet. The even worse news is that because ScummVM uses different types of save files, nobody will have a save file for you. Still pissed? Well, future releases of ScummVM that will let you past this part may or may not have yet another different save-system, so you won't be able to load your old save games.
Someone else asked this question here
, there's more details as to what the incompatibilites are.
The good news is that you can get the LucasArts Entertainment pack, complete with an XP (and possibly 2000) compatible version of Full Throttle (And Sam & Max, The Dig, and Grim Fandango [which can suck for win2k]). You should play all those games.