Rockstar, which is expecting to sell millions of copies of 'GTA 4' in this first week of release, has teamed up with the Amazon MP3 store, which will sell all of the 200-plus songs included on the in-game radio stations.
Users will be invited to call a phone number on the in-game mobile phone when they hear a song they like.
The artist and title data of the song playing is then "tagged" and passed to a shopping cart, allowing users to preview, buy and download songs from Amazon for $0.99 each.
Ben Feder, chief executive of Rockstar parent company Take Two, said this week he expected sales of 'GTA 4' to exceed analysts' expectations.
Feder said: "Our expectations are very high, higher than analysts give the game credit for. All the analysts had a number, give or take, and I think we will be on the upside of that rather than the downside."
Take Two is currently being eyed by rival Electronic Arts, which has approached the Take Two board with a $2bn takeover offer.