I don't have aof3 for neocd anymore, lost a few of my games some years ago. Yeah I know I can redownload it, but it will take time, don't hold your breath !
I redownloaded it, can't reproduce, I just used "game demo" and watched a few stages, no problem to see.
Then I tried your savegame, a nice buffer overflow in the 1st one, but it's too late, the harm has already been done.
Would you have a incredibly long file name (including the dir) for one of your audio tracks ? It's the most likely cause, just noticed that FILENAME_MAX is a lot smaller in windows, but it's still 260, succeeding to have a path longer than that is quite a feat already...
Anyway if you don't have a path that long I need an easy way to reproduce this... !
for the save 4, I have a dark blue screen after the loading animation is over but it seems normal, no flash, it looks like some long initialization, and after that the stage "movie" starts normally. Save 5 same thing, save 3 nothing out of the ordinary, no screen with garbage on it anywhere, you have a buffer overflow specific to your setup somewhere then...
I have made a test build anyway but it's pure speculation, for me everything works already, you might be lucky with this one, but don't try to load one of the 3 1st save states with it : http://raine.1emulation.com/archive/test0302.7z