GTA IV is very cpu intensive than most games that are usually gpu intensive and tasking... Your cpu isn't up to that task and would almost always keep crashing when you play it... You need to upgrade to be able to play it... Sorry
An underpowered CPU won't cause game crashes under normal circumstances. Period.
There's a few issues which could be happening here. Start with the basics - blow dust out of the case and components, ensure all drives and the O/S are fully patched and up to date, attempt to reinstall the game.
If you're still having issues after all of that, then we'll take a look at component temperatures and compatability. But please don't believe the game is crashing because your CPU is too weak - that's just plain wrong.