Instructions
Open the folder where your mp3 files are located. The default mp3 location differs depending on which music program - iTunes, Windows Media Player or others - you use primarily.
Open the "User Music" folder inside "My Documents." "Grand Theft Auto IV" created this folder upon its installation.
Copy the desired music files into the "User Music" folder.
Start the game.
Go to "Options" at the title screen and select the "Audio" tab.
Select "Complete Scan." The game will scan the "User Music" folder and, after that, your music should be available in the game.
Enter a vehicle once you're playing the game.
Scroll through the radio stations until you reach "Independence FM." This station plays the songs you loaded into the "User Music" folder. The default control for changing radio stations is the mouse wheel - roll it up or down to change the station.