Method 1): Wait until the game makes its automatic 2nd attempt to connect to the server, then hit SHIFT+TAB to open the steam menu. Wait approximately one minute, then close the steam overlay and you should be on login screen. Make sure to wait for "download complete" before using SHIFT+TAB. (If you're using Rockstar version, use HOME button)   Method 2): Spam 'direct connect' from the F1 interface as soon as it says 'Download Complete - Compiling Scripts'