As you know, at the beginning of Gta 4, there's barriers, because of terrorists. There's a way to get over one of them.
If you haven't completed the mission Three Leaf clover yet (the mission where Niko, the McReary Brothers, and Michael Keane rob a bank), Alderney will be locked. However there is a way around this. If you go to the Booth tunnel, there is also a stretch of subway overlooking it. We'll get to that later. It is just behind where the police blockade is. Walk along the edge of the buildings, and when you get to where the tracks are positioned, jump down. You will land on the subway floor. You may lose some health. Climb on the railing and jump down again to the road below. The police will not have noticed you, and as so, you will not gain a wanted level, whereas simply walking through the barricades will result in an immediate 6-star wanted level. Walk through the tunnel for some time until you find another police barricade. You need the wanted down cheat for this, or you will have failed the trick. Kill the cops, use the wanted down cheat, and if you received any damage, use the health cheat as well. Walk a little bit more, and you will find 2 overweight cops. Sneak past them. You have now traveled to Alderney prematurely, without attaining a wanted level. You are now free to explore Alderney. I assume that it would be best to avoid any police, though.