Instructions
Go to a "Grand Theft Auto 4" mod repository, such as GTA4 Mods, Plant Grand Theft Auto or GTAInside. Search the repository for mods you might like and then download them onto your hard drive.
Get the GTA IV ASI Loader. It comes compressed in a RAR file. This program is essential to running mods for this game. Without it, "Grand Theft Auto 4" will not recognize the mods in its directory.
Click on "My Computer" and navigate to your "Grand Theft Auto 4" directory. By default, it installs to "\Program Files\Rockstar Games\GTAIV."
Decompress the GTA IV ASI Loader RAR package. If you do not have unzipping software, download and install a program like WinRar or 7-Zip.
Drag and drop the .dll files in the ASI loader into your "Grand Theft Auto 4" directory.
Unzip the mod you downloaded and drag and drop its contents into the "Grand Theft Auto 4" directory. Make sure the .asi file is in the main directory with the ASI loader. Next time you start the game, the mod automatically initializes through the ASI loader.