Sure, there is a way. First, you need to install
xliveless. Simply put the xlive.dll in the game directory. Now, take
this save file with the mission Sexy Time passed (or you can use any other save file in case you've found a better one) and place the save game here (change the system driver letters accordingly):
Windows XP SP3:
C:\Documents and Settings\<username>\Local Settings\Application Data\Rockstar Games\GTA IV\savegamesWindows Vista:
C:\Users\<username>\AppData\Local\Rockstar Games\GTA IV\savegamesWindows 7:
C:\Users\<username>\AppData\Local\Rockstar Games\GTA IV\savegamesNow, to place the savegames in the proper directory, you can go by one of the following two procedures:
a) Create the following folder structure in the "My Documents" folder manually (Rockstar Games\GTA IV\savegames)
b) Simply start GTAIV, create a new game from the menu and save the game taking the first opportunity. Now you can look for the folder in "My Documents" and drop any savegames you have there.
Hope this helps.