I got Fallout 3 GOTY during the Steam Summer Sale and registered the product key with Windows Live. I even checked the Windows Live pop-up and Fallout 3 was under registered games, but for some reason every time I click 'New' and then 'Yes' nothing happens, it just goes back to the main menu. Any thoughts on how to fix this?

You will have to do your own part, providing the information required. At this point, there's nothing at all to use to even try making a guess, so it's just a case of "No data in = no data out".