|"Is there any way how to run GTA IV without lagging?"|
Sure, get a decent video card.
Did you look at the system requirements? Your card isn't supported. The 9400GT is extremely low end. And 1GB memory on a card such as that is totally useless...it's just marketing ploy to sucker people into buying it, thinking they're getting a decent card. You should have asked for advice BEFORE you bought the card. I suggest you return/exchange it for something different. Did you buy it online? If not, you more than likely paid too much...more than $40-50 & you got ripped off.
The following article will help you to choose the right card..make sure to select one that at least meets the minimum game requirements. And if possible, buy online from a site such as newegg.com:
Here's the graphics requirements for GTA IV (they should be on the box):
Minimum graphics: 256 MB Nvidia 7900 / 256 MB ATI X1900
Recommended graphics: 512 MB Nvidia 8600 / 512 MB ATI 3870