They never said they were all dead, they said that GTAIV is a whole new storyline. 
I think that Tommy is still in Vice City living it up...which sounds pretty boring, but Tommy is kick ass. 
CJ did die though...from a drug over dose...what a dumbass. 
Claude fell into a man hole right after he killed Maria...so...yeah... 
 
who told you cj and claude died ...i really don't think CJ died from a drug overdose and neither the thing with claude