When you boot Forza through Steam, you will need to link an Xbox Live account to your Steam profile before you can enter gameplay. Below are the steps which are required to link as well as unlink your Xbox Live account when required.
Prerequisites
Though you may have a Microsoft account already, your Microsoft account must also be signed up to Xbox Live. You can check that it is and also create an Xbox Live account if required by clicking here. https://www.xbox.com/en-US/
Linking an Xbox Live account to Steam from within the game
- When you boot Forza for the first time and progress to the 'Start Game' screen, when you attempt to progress past the screen a 'Sign in to Xbox Live' dialog box will be shown.
- Once you click 'Sign in', you will then be prompted to then enter your Xbox Live account details. After entering your sign-in details and password you will be shown the following screen.
- Pressing 'Let's Play' will then open the Steam Overlay displaying a browser window asking for confirmation that the correct accounts are to be linked and whether you wish to proceed.
- Selecting 'Yes, Link Accounts' will confirm that you wish to link your Xbox Live accounts and Steam profile. If the wrong accounts are being linked, click Shift+Tab to close the Steam Overlay then from the Main Menu either click 'Sign Out' from the bottom of the screen or press the X key. Once signed out you will return to the 'Start Game' screen where you can proceed through this process again.
Unlinking an Xbox Live account
This action can be completed when at either the 'Start Game' screen or Main Menu. Simply clicking 'Sign Out' from these screens (or pressing the X key in the main menu) will prompt you whether you wish to sign out of Xbox Live. Clicking Yes will complete the unlinking process and return you to the 'Start Game' screen where you can sign in to another account.
Other ways to link your Xbox Live Account and Steam Profile
You can also link your Xbox Live account and Steam Profile through the Xbox Game bar or Xbox (BETA) app. To do this please use the article linked here and scroll down to the 'Link your Xbox Game Bar, Game App or game purchased on Steam' section.