It has been reported from various sources that if you utilize cheats built into GTA IV, you will find yourself a little frustrated when you try to complete achievements.
But what do you expect? Did you think Rockstar was just gonna let you get your little achievements so easily?
Hit the link for a list of some cool cheats you can use in-game by dialing a special phone number on your cell phone.
EDIT: I wonder if you can use these cheats in multiplayer free roam..... >:D