The first time Gears of War is started, Games For Windows Live downloads an automatic update, but rather than shutting down the game to complete the update, the game instead simply drops back to the main menu. According to Microsoft, shutting down the game manually after the update has completed downloading is the simplest solution, as the update will install automatically once the game is closed.
The second option is to manually install the Games for Windows Live update, which can be downloaded directly from Microsoft. The company will be issuing a patch to correct this problem, but even without the patch it will not appear again once users have implemented the current workaround.
More detailed instructions on how to manually bypass the error, as well as a link to the Games For Windows Live update, have been posted on the Gamerscore Blog.