There's a easie way to do it without needing log off, Just do:
Ctrl + Alt + Del, it will open the Task manager;
Then press G, it will select GTA Vice City;
Press Del, So it Will shut it down;
Windows will say: Program Not responding, You Can finish now or cancel;
Press Left arrow, then enter, you'll be Selecting Finish now option using left arrow, then, when you press enter, it will shut VC down.
If it doesent work once, try again.
(It works everytime i use it)