I found GTA III for PC cheap so I bought it. I ran into this weird error: A debugger was detected.
After sleuthing, I found that what I need was to install the 1.1 update. The link on the support site was broken.
However, I was able to reverse engineer and guess where the update file ended up:
http://updates.rockstargames.com/patches/grandtheftauto3/GTA3patch1.1.zip
Hope that helps anyone else running into this issue.