Hi
CarolinI receive this error often.
The Quick FixAs already is mentioned. The best way to bypass this is to press on OK and to try again. Listen out for an error sound via your speakers because that is the only way you will know if IV:MP has crashed if you are running on full screen.
It can take over 15 attempts to get it to work, but from my experience the error is caused by something in the memory starting up before it should, so after every try make sure you wait about 10 seconds.
The Long FixIf you are happy waiting that small length of time for the quick fix great! If not you can attempt a full reinstall of both IV:MP and GTA IV. Both need to be uninstalled. If you choose this option its wise to check that everything in main folder is completely empty or removed from program files before installing again.
Good Luck with your efforts!
Regards, DellStorm