First you need to overwhelm the helpers with information:
Has the game ever worked?
Are you playing the game with the Original DVD in the Drive?
If you are trying to use a No-CD program/crack there is no help from this forum.
If the game is Download from the Internet is it from Direct2Drive or Steam.
If you have downloaded from anyother source there is no fix, Buy the game.
What Version is your game?
When posting a problem, be sure to include the following information about your computer:
Operating system (Windows users: be sure to mention if you have XP or Vista, and which Service Pack you have)
Video/Graphics card type and how much Dedicated graphics memory
RAM (random access memory)
If you have installed mods, search or post a topic in this forum
This will help to identify the problem.
If your system may have updated drivers, Or just for the heck of it. DELETE the GTA_SA.set file. It is created at the end of every game and contains your specific game play data which may have changed if driverers have updated.