This is a very simple thing that's often overlooked and I didn't realize until I actually tried to fix it.
With Windows 10 release, GFWL was shut down, and, at least theoretically, all the games that previously used it became incompatible with 10. Note the theoretically here.
There's an easy fix in the case of Grand Theft Auto IV and its DLC Episodes From Liberty City: download the xliveless DLL file and unzip it to your main game's folder. But this doesn't work for all games, so I sought a different solution.
This is applicable to Steam only, but may work with physical copies as well. When you try to install a game on Windows 10 such as Fallout 3 GOTY and run it for the first time, Steam will install all the dependencies the game needs to run. In these games' case, GFWL is one of those dependencies. However, Steam will NOT automatically install GFWL on your PC. Instead, Windows 10 will block the install and show a notification that "this software is not compatible with Windows 10" or something like that.
When this happens:
1) Either click on this notification, or click on the notifications icon in the taskbar, then search for the notification telling you that the game is not compatible with Windows 10 and click on it.
2) An installer executable for GFWL will be downloaded to your PC. Run it, but do NOT make an account on GFWL, since the service doesn't exist anymore. An account is not needed.
3) After the install, try to run the game. It should run without the need for external fixes now.
Online functionality may be hampered, but it's up to Rockstar and Bethesda to update their games on Steam to not require GFWL anymore. This, however, allows you to log onto Rockstar Social Club via the GTAIV (and EFLC) launcher, something I wasn't able to do without GFWL installed on my PC.