You know, sometimes we can't play together 'cause two of us have some sort of "conflict".

Here's what I found, we can try this...
First of all add GTAIV.exe to the exception list in Windows' Firewall; then make sure these ports are open (in software or in router config):
- UDP 88
- UDP 3074
- TCP 3074

I hope this will work. 

Wow thanks bro 

We will test that asap.