GTA 4 is buggy and slow, a game I purchased and returned the next day until I got a new graphic card. My parents purchased the DVD when it first came out as a Christmas gift, I begged due to it's R18 and then said return it (they gave a full refund, not store credit but cash, no problems, even though it has a no return on it, as I screenshot an error message that came up half the time)!
It is highly depending on the graphic card and it's memory, don't bother with the system requirements unless you just want to play on the low of the lows glitchy graphics. Update the graphic card and all problems magical disappear, quality and speed return. When it was released it was full of bugs and graphic problems, ensure you have updated it also!
It should of never been released at it's original state, which is worst than beta, I blame 'Microsoft Games for Windows Live' they injected into it, screwing half of it up. First DVD install was a failure, didn't install correctly. It's the first game I had to install/uninstall and reinstall, then tweak just to get it working a bit better. It's also a game that works better if cracked, and you wonder why so many people pirate, lol (before you say it, note it's not illegal to NO/DVD if you have the original DVD).
Also update your DirectX, should be DirectX 9.0c for WinXP.
I had a 8800GTX, which I later upgraded to 275GTX, retried it and it runs smoothly, totally different now.
