I'm currently playing Dark Souls under Windows (I bought it during a Steam sale some days ago), and don't understand this. When the game launches it needs and account in "Games for Windows Live". I created an offline (local) profile without any trouble. Honestly, I don't know if my saved games are going to the cloud or not, but the game is working and I didn't have to sign up for any service or give an email address.
Here's a short (less than one minute) video on how to create a local profile: