does this pblm occures only for RE4? Maybe try and see if it does the same for other games you have... If it does, it may be a memory card problem. If it doesn't, either the game has a problem, or an erroc occured when you saved your game.. :-s Before sending back the game, try to delete your save files and restart all over again.. I know it's horrible.. but it happened to me (it was on PS1 but whatever, I guess it's the same..)
sorry for the bad english, I hope you got the idea.
bye!