Which one in SA or IV I have never played IV online, but for SA it's difficult to explain and you are going to have to download a few things, but YouTube should have plenty of videos on how to connect I hoped this helped.
Well I'm not sure about Vice City or IV but to access multiplayer on San Andreas, you can go to the SA-MP website and download their client and install it. Then you'll just have to find a server that you'd like to play on and you're away!
If we're talking about V, just select the character wheel and go to the bottom. It should take you to character creation if you haven't made one already.
Which GTA are we talking about? Most of them will be pretty straight forward, with a few simple steps depending on if you are playing on a console or PC. I'd really need some more information before I could really help you out, though.
For gta:sa you have to download SA:MP and install it to play multiplayer since the game itself only has 2 player limited co-op. But, in GTA IV you just have to buy the game to get the online edition or if you're playing on pc you have to buy it so you can get the key to play with your rockstar games account.
Most likely you have to play online. I know that you can play multiplayer on the playstation 2 because I have played San Andreas on it. It was fun because the two players mostly did drive by shootings and engaged in shootouts with the police.