Microsoft has confirmed a "small problem" discovered with the PC version of Gears of War.
When you first play Gears of War for Windows, an automatic update to Games for Windows -LIVE will be downloaded. But after the update is downloaded, you're put back to the main menu of the game. If you don't shut down the game, the update won't complete.
"There's two ways to get over this bump. The easiest is to simply shut down the game after the update is downloaded (you'll know it's safe because you'll be back at the main menu, and not on the 'Don't shut down your PC while the update is being downloaded' screen). As soon as you close the game, the update will install automatically and you're good to go. The second option is to manually install the latest Games for Windows - LIVE update."
Here's a step by step walkthrough of what happens if you choose the first option:
1 - Start "Gears of War" for Windows (from Start Menu)
2 - Once the game starts, press the "Home" key to open the Game for Windows -- LIVE Guide
3 - Sign-in using an existing Xbox LIVE account, or create a new Games for Windows -- LIVE account (this will redirect you to a browser window, if you choose to create an account)
4 - Once signed into LIVE, the user will be prompted to update the Games for Windows -- LIVE version on their machine. Select the "Yes, Update Now" option
5 - Wait for the opening cinematic with the Epic Logo and the Microsoft Games Studio splash screen to play
6 - Once on the main Title Screen, press "Enter" to go to the Main Menu
7 - On the Main Menu, quit out of the game
8 - Once you quit out of the game, the Games for Windows -- LIVE System Update will kick off. Wait for that install to complete.
9 - Once that is complete, start the game again. You will have to re-login to Games for Windows - LIVE again
Microsoft Game Studios is working on a title update to be released in the near future that will allow users to avoid manually exiting "Gears of War" to apply the update. The good news is that once you go through the above process, you won't have to do it again!