I feel your pain. If you're looking in a folder with dlls ect., you're in the wrong hood though. Here's a step by step
1: Go to start menu, write "windows firewall" in the search field and select "Windows firewall with advanced security"go to the control panel and select windows firewall.
2: Select "Outbound rules" from the lefthand box, should be second from the top.
3: On the list that appears, there should be a "GTA5.exe" somewhere on there.
4: Click it and select "disable rule" from the righthand box, just above "cut"
5: Good to go.
This is all assuming you're using Win7. Hope you had the same error as me and you get in allright.