It was already all the way down...
Here's where I have it saved to:
Computer>Acer(C:)>Progrm Files (x86)>Steam>steamapps>common>Grand Theft Auto IV Episodes from Liberty City.
In the main GTAIV EfLC file, I have ELFC, Installers, scripts.
I click in scripts and I see the lcpdfr folder.
I go in game, and press Alt+P and nothing happens. Been reading around the forums and couldn't find an answer. Do I need the original GTA IV as well?
Cheers.