Even with a modded EXE, you usually need an ASI loader. Download Ultimate ASI Loader and put dllinjector.asi and vorbisFile.dll in your root folder.

A modded EXE is a modified version of gta_sa.exe that:

Popular versions:

If you have the Steam or Rockstar Games Launcher version, you typically use a "Downgrader" tool to replace your current EXE with the mod-friendly v1.0 version. You can find the standalone gta_sa.exe v 1.0 us on Liberty City for manual replacement.