BioShock 2 is a GFWL (Games For Windows Live) branded game. As some of you might already know, saves in most such games are managed by the GFWL system itself and you usually need to be logged into a Live profile to save/load in-game progress. But what if you aren’t connected to internet all the time, don’t have an online GFWL account or if you don’t want to be logged into GFWL for some other reason? Don’t worry – this doesn't mean you can’t save progress. With the use of an Windows live offline account, you’ll be able to save/load just fine. Obviously, it doesn't require an internet connection to create or log into one.

Launch the game. Open the Windows Live menu.
If you are already logged onto a profile (local or online), sign out (Create profile button will only become visible when you aren’t logged into anything)
Click on ‘Create new profile’ button.
In the dialog box that pops up DO NOT hit continue. Hitting continue will take you to a registration page for an ONLINE profile – that’s not what we want.
Once in the ‘Create Gamer Profile’ window, scroll down so that you can see the bottom paragraph.
Look for the hyperlinked ‘created a local profile’ link in last paragraph. Clicking this will allow you to create a new offline profile.