I know GTA4 doesn't work on Windows 7 or something, but then I heard that you can change the properties to Windows XP SP3. I am very confused.
My Computer's Specs:
Windows 7 Home Premium 64-Bit
Intel Core i3-2100 CPU 3.10GHz
4 GB RAM
GTA4 works fine on Windows 7. I'm able to run it on Windows 7 64-bit with no compatibility problems.
What is your graphics chip, though? Open the start menu, and in the search bar at the bottom type in:
dxdiag
and press enter. If it asks to check for digital signatures, go ahead, it's harmless and only ensures that your drivers are verified from their manufacturers.
Then go under the Display tab, as shown, and give us the "Name:" and "Manufacturer:"

Don't worry if yours doesn't say "Display 1" or "Display 2", mine only says that because I have two monitors plugged into my computer.