Grand Theft Auto IV is set in 2008, the year the game was released. It is specifically between July and October.
In The Ballad of Gay Tony, whose timeline intersects the original GTA IV frequently, Gay Tony mentions in I Luv LC that "the banks" had been bailed out which was made official in early October. A Weazel News segment on the radio says that the events in Paper Trail and Entourage were about one month apart. The entire plot also likely happens in less than three months - a celebrity named Cloe Parker has a three-month-old child, and in tabloid tradition there would have been extensive coverage of her pregnancy. The real-life New York City begins to snow around mid November, and it never snows in the game.
Grand Theft Auto IV follows the story of Niko Bellic; Before the events of the game, he fought in the Bosnian War as a teenager, was betrayed by one of the members (which got most of the squad killed) and is now obsessed with getting revenge. After fighting in the war, bad circumstances led him to work for Ray Bulgarin in human trafficking, which ended with Niko being blamed for a sinking ship and leaving Europe to escape Bulgarin's wrath and power. While spending the next seven months in the merchant navy he made the decision to move to Liberty City, where his cousin Roman claimed to be living a life of luxury (as well as to hunt down one of the two suspected traitors, Florian Cravic).
The game begins with Niko getting off the container ship "Platypus" and meeting his cousin Roman. He quickly finds out that Roman completely bluffed about his lifestyle, both as a joke and to recruit help, as he is living the average life of a poor immigrant in Hove Beach. Niko spends the next few weeks working at Roman's cab depot (making friends like "Little" Jacob Hughes and Brucie Kibbutz in the process, as well as a girlfriend Michelle) and fighting off his loan sharks - this eventually leads to Niko killing Vlad Glebov, a Russian mobster and one of the sharks, for sleeping with Roman's girlfriend Mallorie Bardas. Subsequent to killing Vlad, Niko reveals to Roman that the real reason he came to America was to find Florian Cravic, a man who he thinks may have betrayed him and his squad during the Yugoslavian Wars; he claims that it was either Florian or another man named Darko Brevic.
Immediately after, they are kidnapped by the Russian mob and before they are both nearly killed, Niko wins over the mob's leaders Mikhail Faustin and Dimitri Rascalov to work for them instead. Because Mikhail is a violent, irrational sociopath (even by organized crime standards), he has Niko kill the son of Kenny Petrovic, the most powerful Russian mobster in the United States. After a short while, Dimitri tells Niko that in order to avoid being killed by Petrovic, he must kill Mikhail. They successfully kill him and appease Petrovic, but when Niko is to receive payment, Dimitri reveals that he is now partnered with Ray Bulgarin, a former employee of Niko's who thinks Niko had betrayed him, and tries to have him killed. Niko, with the help of Little Jacob, manages to escape. Now, Niko and Roman, whose Hove Beach apartment and cab depot were both destroyed in a fire started by Dimitri, must leave Broker and hide with Mallorie's cousins, in the northern borough of Bohan.
Bohan and Early Algonquin
Mallorie introduces Niko to both Manny Escuela, a community organizer making a documentary about his good deeds, and Elizabeta Torres, an extremely influential drug supplier (who, in turn, introduces Niko to Playboy X during a heroin deal and Patrick McReary during a gun exchange). Through Manny, Niko is blackmailed by police chief Francis McReary into silencing people for him, including famous lawyer Tom Goldberg. As the authorities close in on Elizabeta's drug ring, Niko's girlfriend Michelle reveals that she is an undercover agent and Niko will be forced to work for her boss. Elizabeta is arrested and sentenced to 300 years (but not before she kills Manny and his cameraman for trying to citizen arrest her for publicity). Niko moves on to work for Playboy, who is embarrassed to welcome back his old-fashioned mentor Dwayne Forge from prison. As their views conflict and their friendship deteriorates, Playboy and Dwayne each try to have Niko kill the other. Niko's decision of who to kill is one of seven pivotal choices in the game, left to the player. Niko is paid twenty-five grand to kill Dwayne, who could be framed as suicidal, delusional and ready to die. However, if he kills Playboy, who could be considered very greedy and disrespectful to his mentor, he is rewarded with his penthouse and car (worth much more). Niko also does very secretive work for United Liberty Paper, the front company which Michelle's (real name Karen) superiors cover themselves with. Niko is ironically told to kill other criminals who immigrated from Eastern Europe, for their ties to financing terrorist activity.
Late Algonquin and Alderney
Roman is kidnapped by Dimitri's Russian mob once again, after his gambling habit led him to "gambling in their private club". After Niko rescues him, Roman finally becomes a millionaire and purchases a luxury condo for him and Niko. Soon after he is contacted again by Packie McReary, and begins working with his family and friends in the Irish mob (also finding out chief McReary is his brother). Niko becomes a family friend, eventually dating Packie's sister Kate McReary. Niko is introduced to Ray Boccino of the Pegorino Family, who employ Packie's crew as extra muscle. Ray leads everyone involved in a messy, complex diamond deal that pits them against the Jewish Mob and the Ancelotti Family, resulting in the death of Jewsih Mob leader Isaac Roth and the kidnapping of Don Ancelotti's daughter, Gracie Ancelotti, to demand back the diamonds that were stolen back from them. The diamonds are lost in garbage during a firefight between Niko/Packie and Ray Bulgarin again, who was the very first owner of the diamonds. Niko is later forced to make a choice of killing one of Packie's brothers, Francis or Derrick.
For his assistance, Niko demanded that Boccino lead him to Florian - he successfully tracks Florian down, who changed his name to Bernie Crane. Niko discovers that Florian/Bernie was innocent and a closeted homosexual (leaving Niko to hunt down the real traitor, Darko). Niko continues to help Bernie as a friend, helping to ward off blackmailers of his boyfriend, closeted politician Bryce Dawkins (the demands, control of construction unions, are from Dimitri and Ray Bulgarin of all people). After his help they have a profound friendship, and Bernie rewards Niko with an Infernus supercar.
Niko works his way up in the Pegorinos, eventually meeting their boss, Jimmy Pegorino, and working directly for him (eventually, he is told to kill Ray Boccino). United Liberty Paper contacts Niko again to work for Jon Gravelli, the head of the Gambetti Family, the city's most powerful mafia family, and now on his death bed. In exchange for his help, United Liberty Paper kidnaps Darko (who lived in Bucharest, Romania) for Niko to confront personally. Darko admits to betraying the group to pay for his drug habit, and Niko must make the personal choice of either killing him or, as Roman encourages him, forgetting revenge and letting him suffer alive.
At the end of the game, Pegorino chooses to do a heroin deal with Dimitri Rascalov. Niko has the choice of whether to comply and follow Pegorino's orders, and be paid a very large sum of money, or to take revenge on Dimitri. In both scenarios, Niko targets both Dimitri and Pegorino (whether or not Niko chooses the deal, in which Dimitri betrays him as expected). In between the incidents, Roman and Mallorie get married when someone is killed at their wedding. Depending on which path is chosen, it is either Roman Bellic or Kate McReary. After the wedding either Niko kills Dimitri for being responsible for Roman's death or he kills Pegorino for being responsible for Kate's death. Either way by the story's conclusion both Dimitri and Pegorino are dead, while Mallorie is pregnant with Roman's child.