No-CD/DVD cracks aren't considered as illegal as they allow users to play a game without needing a disk in the PC, if the link was to the download of the game, then there would be an issue.
If you have tried another exe, moved the games location, reinstalled the game, deleted gta_sa.set and you still can't open the game, are you able to join any other servers? Or does Singleplayer even work?