I've never played GTA, so I don't know how it works. But this is what might be going on:
If you're playing a game that you should install, but didn't install it and are playing from a CD-ROM, when you try to save it will try and save to the CD-ROM, thus crashing your computer. If you're playing it from a CD when you should have installed it, install the game.
Also if you didn't install it and are playing it from the disc, certain things which were meant to be loaded from the hard drive may crash your system since it's reading from a CD, not the hard drive. In some cases, yes, things were meant to be loaded from the CD. Try installing the game.
If you did install it, then I can't give you any other tips, only because I've never played the actual game.

Where are these lemmings going? The
Super Nintendo Super Shire! Hop in line and follow them there!