You mean like in San Andreas?
No, sorry, you can't; to be brutally honest, that kind of pissed me off too. I mean, you have Xbox360 or PS3 graphics, but you can't mod a stinkin' car?
All that graphics power, and you can NOT mod your car, or illegally modify your guns, or even get something like a revolver I mean, you would THINK that a criminal, would have access to illegally modified black market guns. What you get instead, is a game that is basically GTA III on graphical steroids but with a different map!
Just rent it dude, or, if its cheap now, when you buy it, just play it for the story and then get rid of it; unlike San Andreas, which was a long time keeper, IV isn't worth the trouble, and after you get used to the "realistic car physics" it gets pretty easy.
Dino10