Grand Theft Auto IV/Dimitri

The Master And The Molotov
Dimitri convinces you to kill Faustin, who you meet with at his club. After the cut scene, you can get involved in a gun battle inside the club, or you can take off running for the back-left exit, which is where Faustin goes.

From that location, you can kill off thugs, but eventually you will need to go after Faustin, who goes out into the alley, where more thugs are waiting, and up some stairs to the roof tops. Once you reach the stairs, killing Faustin is not difficult.

Before entering the club, you will be told that some body armor is around the corner to the right, unless you have already bought armor and have it fully equipped. So don't buy armor before this mission, but do make sure that you have plenty of ammo.

Russian Revolution
When you go to pick up payment for killing Faustin, Dimitri double-crosses you. You and Jacob, who meets you there, will have to battle a building full of thugs. Just stay behind cover at first and pick off the easy ones. When they have been whittled down, you can become more aggressive in going after them. At some point, the cops will show up. Run out the back door, making sure Jacob is still with you, and hop into the first police car and take off.

When you have a police car, it is a good idea to keep the siren on (/psx: L3/G). Other cars tend to get out of your way, making your escape a little easier.

Hostile Negotiation
The arrival cut scene puts you in a warehouse full of bad guys, with Niko crouched behind a short wall. When you get control back, sneak back out of the building and run around the left of it to the back, where a building behind it has a staircase. Take it up to the top and cross over to the building and go left to the boarded over windows.

Moving around and aiming through the slats in the windows, you can snipe quite a few enemies while being very well protected yourself. Take your time to make sure you've killed everyone you can see. Shooting loose propane tanks will cause them to blow up, potentially taking out several enemies.

Once you have done all you can from the top level, go down to the next level and repeat, then the next level, etc. Finally, go back around and stop at the door where you started and start clearing out the remainders. The rest is fairly easy.