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?