Check your system settings, if the problem remain, then check for viruses and malwares. GTA4 is incredibly CPU hungry. To run it smoothly takes a quad, and a decently high speed quad at that.
Yeah GTA 4 is really resourceful which means you might want to turn down the graphics just a bit. I'm running on a Windows 7 Ultimate with Intel Core i7 overclocked @ 4.2Ghz. When I play GTA IV, I turn the graphics to the minimal to reduce and lag or missing/lagging textures.