A fire escape is a set of stairs that can be used to escape a building in case of fire. In the Grand Theft Auto IV era, fire escapes are used in certain missions to get down to street level from a building. They can be used outside of missions to get to the roof of a building or get down from the roof.
In GTA IV, the fire escapes are always made of metal. Most fire escapes are missing the bottom set of stairs so the player has to jump off of the side of the fire escape to get completely down to street level. Sometimes the player can get to a fire escape be going off a ramp and landing on the fire escape stairs.