Since there is no Mac version of that game, doing so would be no different than doing it as instructed at that site for Windows. You would have to have a bootcamp Windows install so you could reboot into Windows to play GTA IV.
It will run but with terrible performance. I tried it with Fusion 8 which currently tests better than the latest version of Parallels for games performance overall by a good margin. It was not a good port to begin with so it isn't really a good one to try in a virtual machine which is hit or miss to begin with, particularly for anything more recent although I do understand this game is not particularly recent.