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Improved Weapon Sounds v1.0 for GTA IV by Triangulum Mods
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You will need OpenIV to be able to replace the original weapons.ivaud. Download it here: http://openiv.com/

First, extract the new WEAPONS.ivaud and EXPLOSIONS.ivaud files from this rar to somewhere else on your computer (such as your documents or desktop).
Run OpenIV (as an administrator if you need to), and select Grand Theft Auto IV.
Go to audio/Sfx and open resident.rpf, then go to File - Edit mode. Right click on "WEAPONS", select replace, and locate the new WEAPONS.ivaud you extracted from this mod.
Do the same with the new EXPLOSIONS.ivaud file.

Once you have replaced WEAPONS.ivaud and EXPLOSIONS.ivaud, go to File - Rebuild and select "Rebuild" in the window that pops up.