If you are using Windows XP, put the savegame to -: C:\Documents and Settings\YOUR USER NAME\Local Settings\Application Data\Rockstar Games\GTA IV\savegames
If you are using Windows Vista, put the savegame to -: C:\users\YOUR USER NAME\AppData\Local\Rockstar Games\GTA IV\savegames
I think its the same as Vista for Windows 7 as well, but I am not sure.
If you don't already have a save game, here's a 100% complete save game - Download
Or you could have just Googled for it.