Installing game! Please help me ASAP!

Where did you buy the game?

I buy the game in Rockstar site.

http://support.rockstargames.com/entries/20293378-how-t...

rockstar dont do direct to drive mdf. they do D2D executables... similar to steam... you open the social club and install from there.. i have just submitted a ticket to ask rockstar what file format they issue there games in. as im pretty sure they dont do MDF.

Yeah, Yeah, what ever I open it in WinRar, it said' Access is Denied. what a weak.

You're not being too appreciative of other people's efforts towards helping you solve your problem!   Suggest you lighten up a bit!

Back to the OP:
As HEXiT said, there has to be a way for you to 'install' your game. I'm assuming that you know the difference between 'mounting images' and 'installing'. If you've purchased the legit copy of the game, there should be no question of 'mounting an image' of the game...that's usually used for pirated versions. The download should come with an executable file/ setup, etc. The reason why you're probably getting the 'access denied' message is perhaps because you're not logged into Social Club or whatever it is that Rockstar uses as its download client.

Sounds like a pirated game to me.

If so, then go somewhere for advice. This forum does not support pirating.