From http://forums.steampowered.com/forums/showthread.php?t=2693340

GTA IV Savegame backup

You need to back them up manually.  If you log into an online GFWL account you only need to backup the GTA IV "savegames" folder. In Windows XP it is located in: C:\Documents and Settings\<user>\Local Settings\Application Data\Rockstar Games\GTA IV\ In Windows Vista/Windows 7 it is located in: C:\Users\<user>\AppData\Local\Rockstar Games\GTA IV\  If you use an offline GFWL account you will also need to backup the "xlive" folder. In Windows XP it is located in: C:\documents and settings\<user>\Local Settings\Application Data\Microsoft In Windows Vista/Windows 7 it is located in: C:\Users\<user>\AppData\Local\Microsoft\  *Note* You may need to set windows to show hidden files and folders to be able to get to these folders.  Then once you have formatted your computer and reinstalled the game (including Games For Windows Marketplace/Games For Windows Live) just copy the folders back to their relevant locations.  Then when you run GTA IV press "Home" to bring up GFWL and sign into your old nickname to be able to load the game save. Don't create a new one as the gamesave is tied to that nickname.  This guide also works for Episodes From Liberty City since the game saves are stored in the GTA IV gamesave folder