Independence FM is a custom radio station in Grand Theft Auto IV and Grand Theft Auto: Chinatown Wars, found only in the PC (Grand Thefo Auto IV) and iPhone(Chinatown Wars) versions of the game, respectively.
Grand Theft Auto IV: PC Version
In GTA IV, Independence FM works in the same way as custom radio stations in previous games, whereby music is placed in a directory (My Documents\Rockstar Games\GTA IV\User Music) and can then be heard in-game. It is accessed in the same way as other radio stations, and simply appears when the player scrolls through.
The player is given the option of playing the songs in order of the song titles or in random, or set Independence FM as a functional radio station, complete with a DJ (Gary Sheen), imaging voices and commercials between music tracks.
In order to play, songs must be free of any DRM restrictions. The game "knows" whether it has a DRM or not by checking whether the MP3 file has a "tag" within its coding that indicates a DRM restriction or otherwise.
Grand Theft Auto: Chinatown Wars: iPhone version
In the iPhone version of CTW, there is an extra radio station, called "Independence FM", named after the radio station of the same name GTA IV.
To play songs through it, players must create an iTunes playlist titled "GTA", then the game will find it and play the songs.