Grand Theft Auto 4 (GTA 4)
Have you made sure the game is fully/updated patched? Do you have the latest directx runtimes and games for windows live redistributable installed?
Oh, make sure that your windows live id services are running and not set to disabled (these appear to be needed with the latest redist). Other than those, try usual stuff like updating video drivers, checking for malware, hard disk and memory errors etc. Anything about the specific error on other forums?