Why when you put in the grand theft auto 4 disk it does not come up if you want to play the ballad of gay tony?

I wasn't sure precisely what you meant, so I have answered in these scenarios:

If you put in the ordinary grand theft auto IV disk, The Ballad of Gay Tony is not on there. You have to have Episodes From Liberty City disk, featuring the Lost & Damned, and Ballad of Gay Tony.

If you put in the Episodes From Liberty City disk, you will be prompted to choose which of the two games you want. Once you have done this, the loading will start for whichever one you have gone for.

If you put in the Episodes From Liberty City disk, the game of grand theft auto IV is not on there.