28.01.2013, 10:33
No, I do believe you will be asked whether to save or remove your saved games, so pay attention to all popups the install wizard gives you.
If you are not being asked, then don't worry.
If you want to be 100% certain, please check the following folders:
If you HAVE XLiveLess (you have xlive.dll in GTA IV folder and Games For Windows Live does NOT appear on game startup): Documents\Rockstar Games\GTA IV\savegames
If you DO NOT have XLiveLess (Games For Windows Live is present when you start the game): C:\Users\YOURNAME\AppData\Local\Rockstar Games\GTA IV\savegames
and backup all of those files.
If you are not being asked, then don't worry.
If you want to be 100% certain, please check the following folders:
If you HAVE XLiveLess (you have xlive.dll in GTA IV folder and Games For Windows Live does NOT appear on game startup): Documents\Rockstar Games\GTA IV\savegames
If you DO NOT have XLiveLess (Games For Windows Live is present when you start the game): C:\Users\YOURNAME\AppData\Local\Rockstar Games\GTA IV\savegames
and backup all of those files.