lakshitharxx :
Download GAMES FOR WINDOWS LIVE setup and install it.. It was required to save GTA IV.. that setup included xlive.dll.. if you manually download it and copy it to system32 you will unable to save the game..
Copying files directly to sytem 32 is a very unwise thing to do, for an avarage PC user, who will not scan the file first, I would strongly urge you to try otherwise. Ofcourse, buying retail is what I would advise. But if that's not you "thing", I'd try downloading Games for windows live. Link is here:
http://www.gamesforwindows.com/en-US/download/
Hope this helpes