Hello! I'll explain you how to change the Wallpaper in GTA IV. Many of us wanted to be customizable. But until we'll see that in GTA V (probably), let's change the one in IV. Only a few steps:
1. Download SparkIV
It will allow you to edit the images. It also opens GTA IV files.
Here's a link: 
2. Open SparkIV
PC -> html -> hidden -> osdefault.whm
Select it (click on it) and choose "edit".
Select the image you want to replace and click import, then select your image.
Make sure you save after import, and save at the end in the main window. If not, it won't work.
Enjoy your new PC!