I didn't actually get it to work. It started running far too slow to even begin loading games and navigating the menus.
But basically you need to get something called 'xliveless'. Put the xlive.dll file in your directory and in theory it should begin working with the saved game files. BUT I'm under the impression that it makes a NEW save directory, so you need to start the game > begin new game > save that new game > then insert downloaded games into new directory.
I might try that next, coz i tryed the xlive thing and it still wont work, i get the same error all the time.