Instructions
Play through a mission in "Grand Theft Auto IV" until you fail. Once the mission is failed, the screen will go black. The screen will fade back up, and Niko will either be in front of the hospital (if he was wounded), the police station (if he was arrested) or in the same place he was last in during the mission if he just failed one of the objectives.
Wait a few seconds. You will immediately receive a cell phone call on Niko's in-game phone. Press the "Up" arrow button to bring up the phone screen.
Press the "X" button on your controller when the message "Try Again?" appears on screen. This will automatically restart the mission, allowing you to replay without the need to return to the in-game character who gave you the mission in the first place.