Considering that i don't see any mission failed threads around here, i thought i'd like to share how you've failed missions weirdly in GTA IV.
The Ballad Of Gay Tony: Party's Over.
While shooting Bulgarins men outside Maisonette 9, i throw a sticky bomb, only for it to abruptly explode and kill me.
I found out that it exploded because it made contact with water from a fire hydrant.
Remember kids! Sticky Bombs and water don't mix!