Alright guys, I'm going to start by making it clear that GTA IV does indeed work on my Windows 8. I repeat, it does work. I've been trying to research this problem for the last hour and all I manage to come across is a link to "How to get GTA IV to work on WIndows 8".
 

The issue I'm having is the installation. I download it, and instead of opening up an exe as I would have expected, it gives me that "open with..." option, where it makes me choose between Adobe, Internet Explorer, Notepad, etc. What's going on?

 

Disregard. Stranger from the bar showed me how to fix it. Small world, eh?

Could you let me know how to fix it please? I'm having the same issue right now and it's killing me.

i have the exact same problem and it's annoying the crap out of me.

i have the exact same problem and it's annoying the crap out of me.

I figured it out, you have to open with 7-zip and double click the file labeled MergedInstaller.exe and that will start the install.

The issue is that none of us had software to open .rar files. Download something for .rar and you should be good to go.