A safehouse owned by a powerful mob boss.

If you want some more context:

• Roman (Niko’s cousin) has a bad habit of getting into debt from all his gambling. Unfortunately, Roman is in debt to Vlad.
• Vlad decides to exert his power over Roman by fucking Roman’s girlfriend, Mallorie.
• Niko then immigrates to America from the Balkans. After helping Roman out by keeping loan sharks off his back, he encounters Vlad pestering Roman and Mallorie.
• Vlad later calls up Niko and demands that Niko work for him, or he’ll put some hurt on Roman. Niko agrees to this.
• As Niko works with Vlad, he overhears Vlad talking to Mallorie. Niko sternly tells Vlad to stay away from her. Vlad gives Niko a “Sure, sure”.
• During this time, Vlad is very insulting, calling Niko and Roman peasants, and boasts about his powerful friend, Mikhail Faustin. Mikhail Faustin is the boss of the Russian mob in the area. Whenever Niko tries to push back against Vlad’s demands, Vlad threatens to tell Faustin that Niko and Roman are becoming a problem.
• Eventually, Roman tells Niko that he thinks Mallorie is “messing around with Vlad”. Niko reveals that he knows, and Roman is outraged. He tells Niko that he’s a traitor and a loser. Niko then gets upset and storms off to Vlad’s bar, with Roman tagging along.
• When Niko meets Vlad, he tells him to stay away from Mallorie. Vlad’s response is “I must be hearing things. I could’ve sworn for a moment that this ratty little yokel just told me what to do!”. Vlad then orders his guys to rough up Niko and Roman.
• Niko takes down Vlad’s guys, and both of them run out of the bar. Vlad gets in his car, with Niko in hot pursuit. This is when the quote I posted happens. After a little chase around the city, Niko corners Vlad and shoots him in the head.

For the relevant part with Vlad, you can look here.

I’m currently replaying GTA IV and have just killed Vladimir. He’s a loanshark who, according to some, could be coming back from hell (if one believes in that sort of thing)