OK, today I decided to finally complete the last mission is Fallout 3 before the DLC stuff came out, but before I did so I downloaded the patches and got Games For Windows Live. Not a good idea. I lost all of my saved games. My character is dead and I am sad. I suppose this means I have to start from the beginning again, so much to redo. *Sighs* At least it's fun.
EDIT: Turns out I just needed to turn off Games For Windows Live, which is a shame because I need that if I want achievements.