Run as Administrator
First, completely exit Steam, and right-click on the shortcut which you use to launch Steam and select "Run as Administrator." This step may be enough to fix the problem. If not, continue below:
Additional Installers
You may need to manually run secondary installers required by this game. Exit Steam entirely. Browse to your Grand Theft Auto 4 installation folder (Usually C:\Program Files\Steam\steamapps\common\grand theft auto iv\)
You will need to run each of the following installers:
...\steamapps\common\grand theft auto iv\Installers\DirectX_jun2008\DXSETUP
...\steamapps\common\grand theft auto iv\Installers\DirectX_Mar2009\DXSETUP
...\steamapps\common\grand theft auto iv\Installers\vcredist_x86
Games for Windows Live
Also, install the latest version of the Games For Windows Live software, which can be found here: http://www.microsoft.com/games/en-US/Live/Pages/livemarketplace.aspx
Restart your computer and test the issue again. If you continue to have difficulty, run this installer:
...\steamapps\common\grand theft auto iv\GTAIV\Activation\SteamActivation
References
Taken from this steam forum post. In addition, there is another thread of a huge list of GTA IV steam issues which you can find here.
From my experience playing the whole GTA series where the game is based around free-roaming. You can go do all the side missions and return to a storyline mission without any disadvantages.
In the context of GTA IV, I would say that the only benefit to doing the missions in an orderly fashion is you gain better weapons/services/money to assist you when the harder missions further on in the game are available.
Overall, the sub missions wont affect your main storyline missions, and vice-versa.
Best Answer
Niko hails from what is now Serbia, which was once part of Yugoslavia in Eastern Europe. During the 1990s, this region was in a state of frequent turmoil and civil war. It's heavily implied that Niko was coerced or forced into service in the army as a teen. The experience scarred him, and he deals with the fallout from his (and his friend's/family's) actions during the war over the course of the game.
Further discussion of the Yugoslav Wars is probably outside the scope of this site, but there's a good Wikipedia article on it.