Sorry to make you wait so long...I had to work all weekend. You have to back up the individual game folder AS WELL AS the "Xlive" folder that contains your Live account info. So for GTA4 you would do the following:
Backup the entire “Rockstar Games†folder (your saved games) which is located in C:\Users\<USERNAME>\AppData\Local\ for Windows Vista/7, and in C:\Documents and Settings\<USERNAME>\Local Settings\Application Data\ for Windows XP.
Backup the “XLive†folder (your Microsoft Games for Windows - LIVE profile), located in C:\Users\<USERNAME>\AppData\Local\Microsoft (Windows Vista/7), or C:\Documents and Settings\<USERNAME>\Local Settings\Application Data\Microsoft\
Then to restore you would copy those same files back to those locations. I created my Live account and then copied the Xlive folder back, so I would follow that recommendation. Hope this helps.