Problem with VMware Fusion

That's the problem - you're running it in Fusion. Some games will work when in a virtualized environment but more often than none, it won't work because it lacks graphics support. If you're looking to play GTA 4, you might want to consider installing Windows through Boot Camp.

 

From the FAQs:

Can I play 3D games in a virtual machine?

Yes, VMware Fusion has experimental 3D graphics support allowing you to play select DirectX 9.0c with Shader Model 2 games in Windows XP Service Pack 2 and Microsoft Vista virtual machines. See the VMware Fusion release notes for more information.

 

3d graphics suffer in virtualization thats why.