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GTA IV Problem Checklist:

1. Update your drivers to the latest stable version:
nVidia:
http://www.nvidia.com/Download/index.aspx?lang=en-us
ATi:
http://ati.amd.com/support/driver.html

2. Update DirectX with the automated web installer.
Official Download:
http://www.microsoft.com/downloads/details.aspx?FamilyId=2DA43D38-DB71…
Unofficial Download:
http://rapidshare.com/files/151646933/dxwebsetup.exe

3. Update Games for Windows Live.
Official Download:

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