In order to play GTA IV via the PS3 network you will need to open the following ports on your router or modem:
UDP ports:
6672, 28900
TCP ports:
8001, 27900
For access to the Playstation Network the following ports are used:
TCP ports:
80 HTTP, 8080 HTTP, 443 HTTPS, 5223 JABBER, 3478, 3479, 3480
UDP ports
3478, 3479
from
http://support.take2games.com/cgi-bi...ted=1209211726
Apparently GTA has been having a fair few issues regarding online play so it might not just be you.