As you all may know, the PlayStation Network has been down for a week, and some gamers are still wanting to play multiplayer style free roam games despite this. Unfortunately this isn't possible for any of the GTA4 games, but it is for Red Dead Redemption.
Here's how to do it
Start up a single player game, then press Start, choose Multiplayer, then choose LAN, and hop onto free roam. There you can still play multiplayer game modes and regular online challenges while offline.
For more information about the PlayStation Network being down, please go here