Where did you download it from? Are you using any mods or cracks?
Make sure you have these installed: .NET Framework 3.5, the GTA IV Patch 1.0.7.0 & the Games for Windows Live Update. In case nothing helps, using xliveless might also be of help, but in case you have any save files it'll move them to a different location in the My Documents one, and will also disable online play.
Lastly you could try to run the game in Windows 2000 Compatibility mode or any other Compatibility mode for that matter. Try also running the game as administrator if needed.