This happens with the DiRT3 DVD install on Windows XP. This is because it does not install Games for Windows Live properly.
You may be able to run this:Start > All Programs > Microsoft Games for Windows Marketplace > Games for Windows Marketplace
And it will tell you that your files are missing and will offer to download them.
Alternatively go here to get "Games for Windows Marketplace Client":http://www.xbox.com/en-GB/Live/PC/DownloadClient
Note: You are likely to also need this MS KB or you won't be able to sign in to GFWL in the game nor download the update!http://support.microsoft.com/kb/960554
See threads:"DiRT3 Profile won't Download - Windows XP"and"DiRT3 Games for Windows Live - Update Fails on Windows XP error: 0x800B0003"
PS: I would have posted on codemasters site but they currently aren't allowing new forum logins due to a security breach.