Hi.
I've heard many people have been having issues with playing GTA IV on integrated graphics (especially Intel).
I have an Intel HD Graphics (Core i5) and I'm pretty satisfied with what it has to offer ( although I still am looking to get a better card ). I installed GTA IV a couple months ago. And was able to run it. But it was missing textures to a level that I could only see the protagonist (Niko) and the vehicle I am driving (+ some peds).
I google'd a lot. And found many solutions to fix that issue and better yet, have better gameplay.
First
Getting rid of the missing textures. Here are the steps :
1- Create a commandline.txt file in your GTA IV directory.
2- Open the file and type in "-noprecache -availablevidmem 5.0" (without the " " ). You can change the "5.0" to your likings, I just wrote it because it worked well for me.
SecondGetting FPS and Gameplay Improvements. Here are the steps :
1- Download
Intel Display Adapter Management Tool 2.02- Open it. And press on "Vertex Processing Modes for Specified Executables (Intel Only)"
3- Click on Add All Supported Games
4- Scroll down and find "gtaIV.exe" then select "gtaIV.exe" and press on "Change Vertex Processing Mode" - This will change the processing mode to "Software" (You can use this for many games, ex : I'm using it for Metro 2033 [Yes I was able to run it

]
Now close the tool. Next :
6- Go to your Control Panel (you might wanna have it showing "Large Icons" and not Category. Search for Intel(R) Graphics and Media and click on it.
8- Go to "3D"
9- There will be a tab called "Vertex Processing". Change the option to "Enable Software Processing" - This will activate the thing we did in the management tool ( Step 2 to 5 )
10- Play the game.
NOTE: You will not be able to play IV:MP though. Rockstar Games must've added something in the latest patch that prevents the game from running on Intel Integrated Graphics.Please keep in mind that I wrote this topic to help YOU. So please do not come in swearing at me. Also, I will not be help responsible for anything that YOU might have done wrong while following the steps. Everything you do following this topic is reversible.
Please share results, because I want to know how this works out for others.
EDIT: (10/2/2011)
Note : I found a way to play IV with patch 7. Yes, that means IV:MP works for me now. You can find the solution
here. Although, if you want to play IV with patch 7, you can't use Intel Display Adapter Management tool, nor the Intel Control Panel.