Here are the steps on how to download GTA 4
Note: The files are .TXT files, here's how to download .TXT files
Create a folder called GTA 4 (right click, new, folder)
Download PART 1 and move all the files to the folder you made
Download PART 2 and move all the files to the folder you made
Download PART 3 and move all the files to the folder you made
The GTA 4 folder should have all the files, and you can now run it.
PART 3 is optional, as it only contains the DLC (TBOGT & TLAD)
The game is 30GB total, make sure to have enough space.