It seems that that file is part of Windows Live. See if you get the file if you go to
http://www.microsoft.com/games/en-US/Support/Pages/default.aspx and on the right side click on "Download the latest version of Games for Windows Live software".

Did you already check the help info on the CD/DVD you installed this game from. A file like readme.txt, maybe. Or look on the GTA-site for help.

Kees