Ok, first of all, I know how many countless types of computer configurations there are out there, so this will not apply to everyone. But, I have a simple fix for the error where GTA SA wont load on startup, before the intro movie.
Microsoft, in its infinite wisdom, seems to put out these security updates all the time that all look generic and really don't tell us what they do at all. And, we download them in the auto update thingy thinking Microsoft knows what it is doing and has tested them for all contingencies. But, that is impossible of course.
A security update posted a short while back has prevented several games from working, including GTA SA. I had a pretty entertaining conversation with a Rockstar rep this morning about this very thing. Needless to say, they are not pleased with Microsoft right now.
The update in question is "Security Update for Windows XP (KB917422)". All you have to do is go to "add/remove programs" and select "show updates" near the top. It will load everything you have installed, and scroll down to the evil update, click remove (ignore the silly Microsoft warning), and bingo! All fixed!