With Clannad, you have a hundred save slots. Those are for if you want to save in game. All your progress and unlocked stuff are saved in a separate file.
If you check your SAVEDATA folder, you'll see things like save000.sav or save001.sav if you've saved a game. Other files you should see include but are not limited to save999.sav, read.sav and REALLIVE.sav. These 3 files contain your game progress. save999.sav is especially important, as it contains your unlocked CG, BGM (and probably more). read.sav contains an indicator for the engine so it knows which lines you've read before (if you use the fastforward previously read lines function). Not exactly sure about the REALLIVE.sav though. It probably contains your story progress (i.e. which routes are unlocked, which are cleared, which have been perfectly completed (light obtained, etc.).