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If something is asking for it, maybe ask in the game forum. There might be an issue with your setup.
GTA IV is a GFWL game so it defo needs a product key to even use.
Edit: According to the last post in this thread, GTA IV had GFWL removed and no longer needs a CD Key.
https://steamcommunity.com/discussions/forum/1/864961629647723196/
It is however the case that the in 2020 existing owners of either or both of GTA IV and "Episodes from Liberty City" were upgraded to The Complete Edition as well, and for those cases it should be possible to contact Steam-support ("I have a question about this purchase") and get the GFWL key from the time of purchase from them. It can e.g. be needed for purposes of recovery of a Rockstar Games Social Club account that that Steam purchase was registered to back then.
I.e., if you once bought the GFWL edition and actually need that key for a purpose like that, try Steam support. If you want it f.e. for purposes of version-downgraded multiplayer check out https://gtaconnected.com/. Old GFWL multiplayer fr GTA IV is in fact still up but AFAIK gtaconnected is the actually still (somewhat) lively choice; you don't need a GFWL-key for that.
EDIT: Oh, crap, see I said same already in the thread MancSoulja linked (minus the gtaconnected bit)