Warning: Avoid random “download sites” offering just the .exe. Many contain malware.
Why it happens: The 2008 installer uses 16-bit installer legacy routines.
The Fix:
Why it happens: Microsoft discontinued GFWL in 2014. The gta iv setup exe tries to phone home to a dead server.
The Fix:
If you are using physical media:
GTA IV Setup.exe is the primary installer for Grand Theft Auto IV. When you run it, it: gta iv setup exe
If this file is missing or corrupted, the game won’t install.
You have the 4-disc DVD set from 2008.