Yeah thats all that happens. I bought it on steam digitally. But theres a ReadMe file in the Gta 4 folder and it has a list of downloads. Is that what I need or does it not work for windows 8.1? also I have a toshiba not a vista7 :(
Uninstall any existing version of Games for Windows Live via your Computer's Software Panel. Then head over to Microsoft and install this version of it:
(login with Live ID required)
Afterwards, restart your Computer and try again. If it still does not work, set the executable of GTA IV to Compatibility Mode with Vista/7.
In addition, have a look at this answer too.