Call of Cthulhu is a rather short game - you will need only about two or three evenings to finish it. However, the game gives you a lot of freedom due to its complexity of skills and having a few endings. The problem is that the player can't save the game manually to reload their previous save and make different decisions. PC players have easier access to this feature - they can copy the files manually to save them for later and load when they decide to do so.
This is rather easy to do - find the catalog with the game's save files. It should be in "User name\AppData\Local\CallofCthulhu\Saved". Here, you can find folders with the game config and save files (SaveGames folder).
Once you locate the save files folder, you can simply copy them and paste into another folder. You should do that after every autosave and name the folders in such a way that would help you identify them. To load a previous save (when you want to, i.e. unlock an achievement/trophy), go to the game's main menu and replace the files stored in the directory presented above. After loading the game, you will go back to the desired place.