Did you follow this step?
Step 2:
Start your Grand Theft Auto IV. If you dont do this, you can reinstall your Grand Theft Auto IV, else it wont work again. When you start a new game, you are asked to log in to Windows Live. Do this. You will get a message if you want to install the newest patch. Install this patch. When you did this, your game will close and you will start with installing this patch.
If you did, maybe your I.P could be similar to a banned players I.P, this could be the problem. Tell me exactly what day you installed the game.