The build aCoD Prodigy came up with looks pretty decent, I'd change a few things myself for personal preference ( Just if you're interested, I'd swap out the h100 CPU cooler for a Cooler Master 212 EVO, the Corsair PSU for a BeQuiet Pure Power PSU, and I'd swap the MSI GTX780 for an Asus GTX780 and add an Arctic Accelero Xtreme IV GPU cooler ).
What might be helpful is if you start looking for things in order so...
1) Look for a case ( this is the base of your whole computer, you'll need the dimensions of the case just to make sure that all the components you choose will fit, hence why you should choose a case first ).
2) Look for a motherboard
3) Look for a CPU ( possibly look for a CPU cooler too, or stick with the stock cooler )
4) Look for RAM ( check your motherboard and CPU can handle the ram you choose - for example if you want 16GB of ram choosing 2 x 8GB sticks would put less strain on the memory controller than 4 x 4GBs would)
5) Look for a GPU
6) Look for HDDs / SSDs
7) Look for a PSU ( make sure it's got enough power for all of your components, I'd personally go for a modular PSU ).
8) Don't forget if you're not using a steam copy of GTA IV you'll need an optical drive to read the CD.
You might want to think about budgeting for an HD monitor if you've not already got one!
Hope some of this helps, if I've forgotten anything, please someone jump in :)