Solutions
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GHenderson's post in "GTA IV FATAL ERROR: RMN20" was marked as the answerManaged to find the solution:
Go to: Steamsteamappscommongrand theft auto ivGTAIV
Right click LaunchGTAIV.exe and click "properties"
Click the compatablility tab
Tick the "run this program in compatibility mode for:" box
Select Vista SP1
Click Apply/OK
Source: http://forums.steampowered.com/forums/showthread.php?t=2220721