Question: How do I save my game in Max Payne 2 for PS2?

Answer: To save your game on Max Payne 2 on the PS2...

When playing the game, press SELECT and this will return you to the Main Menu.
Then select SAVE game and select one of the available 6 save slots.

You can do the same to load a game.
Saving the game is only available whilst in gameplay mode.