I never installed IE9. I use Firefox but, thanks you for the advice nonetheless. Steam support got back to me and I can now play the game. Only problem is, I have to reinstall wmfdist11.exe after every restart to get the game running. Can't complain though, at least I can finally play the game.
Thank you for contacting Steam Support.
Please do not install any manual updates that were not provided by the Steam client or the GFWL client.
NOTE: If you are running in Windows Vista or Windows 7, please completely exit Steam, and right-click on the shortcut which you use to launch Steam and select "Run as Administrator."
You may need to manually run secondary installers required by this game.
Exit Steam entirely.
Browse to your Grand Theft Auto 4 installation folder (Usually C:\Program Files\Steam\steamapps\common\grand theft auto iv\)
You will need to run each of the following installers:
...\steamapps\common\grand theft auto iv\Installers\DirectX_jun2008\DXSETUP
...\steamapps\common\grand theft auto iv\Installers\DirectX_Mar2009\DXSETUP
...\steamapps\common\grand theft auto iv\Installers\vcredist_x86
Also, install the latest version of the Games For Windows Live software, which can be found here:
If you are running Windows XP, please run these installers as well:
...\steamapps\common\grand theft auto iv\Installers\wmfdist11
...\steamapps\common\grand theft auto iv\Installers\umdf
...\steamapps\common\grand theft auto iv\Installers\wmpappcompat
Restart your computer and test the issue again.
If you continue to have difficulty, run this installer:
...\steamapps\common\grand theft auto iv\GTAIV\Activation\SteamActivation