But it's really simple, there are only a few steps. I know GFWL has a strange ( and secure ) way of doing things, but it's exaggerated.
So, once you have the CD key from Steam, download Games For Windows Marketplace.
Log in with your account.
Go to live.xbox.com/.../RedeemToken and redeem your Steam CD key.
Go to your GFW Marketplace application.
Go to Downloads > All Downloads.
Click GTA IV then click view game keys.
That should be it. You're gonna use that CD key when requested by GFWL.