on gta 4 for the 360 you need to access the mobile phone in the game after playing a few missions then you have the option to play online through the phone settings. not sure if its the same for the ps3 version dont know about the other versions i would ashume that the options are available on the main game screens under the option "Multiplayer" or are you asking how to set up the internet on the ps3? if so i dont think i could help you. im sure moby, jatt or yoacim could though :thumbsup:
