Or, if you have Firefox you can go to the Firefox add-ons page (should be in one of the bookmark folders) then you can download a program called video downloader where you can download Youtube videos, Google videos and supposedly the one of GTA IV.
Here is the link for the video downloader https://addons.mozilla.org/en-US/firefox/addon/2390.
NOTE: I believe that this does not work with internet explorer but only with Firefox, you can download Firefox from here http://www.mozilla.com/en-US/
im not a retard i use it too, but there are some websites where it doesent work, so what if doesent work this time? But i think it will be downloadable, its in R* interest that more people see it.