Max Payne requires a DirectX 8 compatible graphics card
Test Direct3D is operating in other games, or by using "DXDiag" application that comes with your system (go to start then Run and type dxdiag, select Display tab, click on "Test Direct3D".)
You should get a "Direct3D test results: All tests were successful." message). If Direct3D tests are unsuccessful, then reinstall directx from the Max Payne CD before downloading and installing the latest videocard driver from the manufacturer's website.