Well it turns out that Toy Soldiers is a Games For Windows Live game, meaning i need to install Windows Live and sign up through it. I would have seriously reconsidered purchasing the game if i'd realized that ahead of time, but since i'd already paid for it i decided to go ahead.
So i start up the game, i asks me to create a profile and sign in, i do, and it tells me that there's an update for Windows Live available, and if i don't install it now it will log me out of Windows Live. I try telling it i'll install it later but that logs my out and then Toy Soldiers insists i need to log in again before it will let me do anything. So i say okay, install it. And it says "please save your progress and exit the game." Except i can't exit the game because the game insists i have to log into Windows Live before i get to the main menu! I went through about three rounds of "You need to sign in," "Okay i'll sign in," "You need to install the update," "Okay i'll install the update," "You need to exit the game," "Okay i'll exit the game," "You need to sign in,"... before giving up.
Obviously i was able to get around it by shift-tabbing and killing the window, but that's pretty shoddy programming Microsoft! And it's certainly not giving me a very favorable first impression of Games For Windows Live! =P