part of the issue is simply that GTA4 wasn't ported well.
Granted it's a bad port, but hard freezes are indicative of other problems, not the game itself.
your problem could be bad cooling or driver issues. do you get any BSOD's aswell? does this happen on any other game?
It could also be memory related. As adt asked, do you get any other Blue/Black screens of death at the desktop or playing any other games?
If so, I'd suggest running memtest86+ to check for any errors:
Memtest86+ - Advanced Memory Diagnostic Tool
(Burn the .iso as a bootable disc and boot from it. The test will run automatically. A Minimum of 8hrs is recommended, so leave it run over night. Unless it starts showing errors straight away)
How long into the game does the hang occur? Within minutes, after an extended period of time? etc
► Did you build the PC yourself or was it pre-built?
► Are all your other drivers up to date? ie your motherboard chipset drivers/ sound drivers
► Any yellow triangles/unknown devices that appear in Device Manager?
► Use GPU-Z to monitor/log your Video Card temperatures to see if it's overheating:
techPowerUp! :: Downloads
Make sure to tick 'Log to File' under the Sensors tab
