Hello,
Follow this small tutorial. You cannot go wrong. ;)
1) First, ensure you have a legal copy of GTA ( As said above, no piracy talk.You can play pirated or legal but you'll have to find out yourself how)
2) Second, here is the needed patch to start the game: GTA IV Patch 7 (http://games.softpedia.com/get/Patch/Grand-Theft-Auto-IV-Patch.shtml)
(http://pwimage.org/images/p920c6j0i8blzut63if1.png)
3) After you install it, go here: Latest Client (http://files.iv-multiplayer.co.uk/beta/downloads.php?f=IVMP-0.1-Beta-1-R2-2.zip) and download
(http://pwimage.org/images/h6v5fur9l0vsbwwx41l.png)
4) The process of installation is very simple, run the executable from the unpacked ".rar" file and install to your directory( There will be your launcher)
(http://pwimage.org/images/wh6djj35sc0t9eenkhed.png)
5) here is the server IP, currently supporting 32 players.IP: 178.63.52.144:9999 (No password) ( Remember: If you get an error "Failed to connect to ...." it means the server is full! )
6) Run "LaunchIVMP.exe" file located in your GTA IV directory. it will execute the game and take you to an In game server browser.
PROTIP: Do not install RGSC!