You have the option of undertaking missions - some of which keep the story ticking along, some of which don't - but you are also free to roam around the city if you wish the game world is very much your oyster.
But here are the revision notes for anyone who may have recently awoken from a coma: you're a career criminal in a fictional city (although one that's clearly inspired by a real-life metropolis) filled with people and vehicles, any of which you can kill/drive (delete as appropriate). Unless you've been squatting in a Saddam-style hidey-hole for the past ten years, I'm going to assume you know what the GTA games are all about. But now I wish I'd had the patience to wait that half a year, because after spending time with this version I'd much rather be playing San Andreas through for the first time on my PC.
As Proud PC gamers, you may feel a little aggrieved to be reading this review now, rather than nine months ago when this game first reared its tabloid-baiting head on the PlayStation 2.1 myself crumbled in typical lily-livered fashion, holding out until around last Christmas, at which time I decided that I couldn't wait another half a year for a game that all and sundry were raving about.