These are unfortunately the Rockstar Games re-releases that are currently available free of charge from their official website. This means they are the same versions currently offered on Valve's Steam store and have game breaking bugs.
GTA1 will only launch once and has incorrectly played music in certain vehicles, eventually the music stops playing altogether.
GTA London has not been upgraded and therefore just doesn't work under modern Windows.
GTA2 works fine. No problems at all. Fortunately, this is the game that Rockstar paid most attention to.
Although there are potential fixes for these games available around various websites on the Internet, they do not bring them up to a fully playable standard. You'd be better off finding the older, original PC releases (such as the Sold Out range) and running them with a 3DFX enabled version of DOSBox, an MSDOS emulator.
The games themselves are brilliant. A lot of fun if you can look past the simplistic gameplay.