Might be of help to someone so thought i'd post my experience.

Got GTA 4 for the ps3 and it was taking ages to install (in fact i left it on for a good 60 minutes while watching the united match).
Tried 2 or 3 times and it would hang at the "starting new game" screen.Was considering sending the game back as i tested other games (cod4,Drake.rainbow 6) and they were all working fine.

Did a bit of digging (google) and noticed a post about network connections, so disabled my internet connection and the game now runs fine Will need to try it with my network connection running again as multi player is a major attraction point of the game.

Just thought i'd pass it on.