During the course of the game, Niko talks about his experiences in the army, but what army is he speaking of? Why did he have to join?
Niko hails from what is now Serbia, which was once part of Yugoslavia in Eastern Europe. During the 1990s, this region was in a state of frequent turmoil and civil war. It's heavily implied that Niko was coerced or forced into service in the army as a teen. The experience scarred him, and he deals with the fallout from his (and his friend's/family's) actions during the war over the course of the game.
Further discussion of the Yugoslav Wars is probably outside the scope of this site, but there's a good Wikipedia article on it.