Here's how to fix your issue:
1. Delete all previous installations of Games for Windows Live AND Microsoft Games for Windows Marketplace.
2. Download the installer here. -
http://www.xbox.com/en-US/LIVE/PC/DownloadClient
3. Install the client and run it. It may ask you to download an update. Do so and install it.
4. Launch GFWLive.exe from C:\Program Files (x86)\Microsoft Games for Windows - LIVE\Client.
5. GFWL should work now for you.
If it doesn't work, or you have any issues, repeat step 1 and then before installing, right-click, go to properties, change compatibility to Windows 7 [/endquote]
Yeah, it works great, except for the fact the file you're telling us to download is the one that doesn't work. More bluntly, we CAN"T run the client. It fails.