For everybody who bought the game and couldn't get Games for Windows Live to work - therefore are unable to save their games - follow these steps:
1. Download this installer: http://www.xbox.com/en-US/LIVE/PC/DownloadClient
2. Go to Control Panel and uninstall all Games for Windows Live related programs (redistributables, Games for XBOX, etc.).
3. Run the installer you download in step 1.
4. Restart your computer.
5. Open the game, press your Home button and this should bring the GFWL overlay.http://steamcommunity.com/sharedfiles/filedetails/?id=301697156
But you're not over yet!
Follow this guide: http://steamcommunity.com/sharedfiles/filedetails/?id=152539445
With this combination of steps you should be able to play, get achievements and save your game.