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Found the save file while trying to find out where the hell the Windows Live crap is, now I just need someone with all or most of the game completed to upload theirs to help everyone out.
Here is where the save file is located:
*go to your user folder*\Local Settings\Application Data\Microsoft\XLive\Content\
Those are hidden and protected folders, you must paste "\Local Settings\Application Data\Microsoft\XLive\Content\" AFTER the address to your user folder and hit enter to get to that location. Vista users can simply type "xlive" in the search bar and it should take you straight to the folder, I guess indexing is good for something.
In the Content folder keep clicking the folders with random numbers and letters, in the last folder there will be a file called 4D530842.gpd, that is your saved game. Copy it, keep it for safe keeping, you also might want to make a shortcut to that folder since it can be a pain to access. Whenever the game deletes your saves just restore that file and youll beable to start from the last checkpoint.