Ms. Splosion Man will now use Steamworks in place of Games for Windows Live. Achievements and cloud saving are now available. You can also convert your previous GFWL save file to a Steam save file. Please note that you will need GFWL installed in order to convert your save game file. Once converted, GFWL will no longer be needed.
If you receive an error while converting your GFWL save game just ignore it and continue anyway. The conversion process will still continue. If for some reason it fails, try updating GFWL to the latest version. Link for GFWL update: http://go.microsoft.com/fwlink/?LinkId=98609