In order to backup your save games for Grand Theft Auto IV on the PC you will need to backup two different folders, this is due to the game using the Games for Windows Live system.

Windows XP

C:\Documents and Settings\<username>\Local Settings\Application Data\Rockstar Games

C:\Documents and Settings\<username>\Local Settings\Application Data\MicrosoftXLive

Windows Vista/7

C:\Users\<username>\AppData\Local\Rockstar Games

C:\Users\<username>\AppData\Local\MicrosoftXLive

NB: These are the default folder locations, if you have a different location it can be found by typing %LOCALAPPDATA% into Windows Explorer.