I purchased GTA Episodes From Liberty City via Steam. Upon installation through Steam, I was given a CD Key that was reported as invalid when prompted for my Windows Live login. Here's what I did after filing a support case with Valve:
>Plugged the key into live.xbox.com/.../RedeemCode
>This "redeemed" the game under my xbox/windows live account. And was immediately available for download using the Games for Windows Client/Market place app (This installs a separate version from Steam).
>After downloading and installing, in the Games for Windows app, there is a new drop down called "View Game Keys", which gave me a NEW CD Key.
>Launching the game from the Games for Windows app, I was again asked for a CD Key, but this new key was accepted.
>I tried to plug in the new into the Steam version, and it didn't take, but at least I can play and save my game now.
>I've yet to hear from Valve support; I would like to not rely on "Games for Windows".