I usually install discs, and it only takes a few minutes. Maybe 5 minutes?
The GTA IV install disc has its own installer though. You actually launch the game to start the install, rather than hitting "X" for game details and doing the install that's possible for any game. It's possible that the standard install does the same thing, but I didn't try it. And yeah, it took quite a while to finish. It was probably extracting stuff rather than just copying the game data as-is to the HD.
Rockstar actually recommended against installing the 2nd disc, because the game takes advantage of being able to stream from two different data sources (HDD and disc). By installing both discs on the HDD, you've essentially created a bottleneck and the performance will actually suffer as result. You can get around that issue by installing the 2nd disc on an USB storage device instead of the HDD.