I have a major issue, I'm still at the first "level" and I managed to escape from the asylum and out at the town. I found my wife and when I'm supposed to hide from the clones there's very little time to do that so I get caught and end up at the asylum again.
Isn't I'm supposed to continue from where the last saved game where (entering a new area)?

Maybe I've just misunderstood when it's suppose to save the game automatically, I believe it's when the game has to load another "square".
Some help needed please!

That's the way it's supposed to work. You get busted, and you start back in prison. What you should do is go to the far right corner of the house and switch to the sneak action, and hide behind the plant in the left corner of the right most room. Press spacebar to activate Twinsen's crouch.