1) Download the game with steam.
2) Rename the directory so it has NO SPACES:
Mine was D:\GAMES\Steam\steamapps\common\Max Payne
changed to D:\GAMES\Steam\steamapps\common\MaxPayne
3) Right click the executable and go to properties, then choose Compatibilty.
Tick Run this program in compatibility mode for Windows 98/Me and tick Run this program as administrator (Don't know if it is necessary to run as admin).
4) Extract the contents from MaxPayneSoundPatchv1.12 you got here http://forums.steampowered.com/forums/showthread.php?t=848215
5) Run a command prompt as administrator: push windows button, type cmd on metro view and right click and choose run as administrator
6) Type D:\. (Don't do this if your game is installed in C:\)
7) Type cd D:\GAMES\Steam\steamapps\common\MaxPayne.
8) Type MaxBatch.bat.
9) Press c to convert game.
10) Let it work. Press any key when done, and then press E to quit.
11) You can delete these folders and files in D:\GAMES\Steam\steamapps\common\MaxPayne when succesfully done:
maxpayne soundpatch 1.12.txt
12) Go to steam and choose Games/Add non steam game on top.
13) Browse to D:\GAMES\Steam\steamapps\common\MaxPayne\maxpayne.exe
14) Launch the game from steam and go to options and put everything to max and disable anti aliasing.
15) Choose 1400x1050x32 as resolution. I have a 1920*1080 screen and on other resolutions it was stretched or windowed.
16) Press play to play the game.
17) Enjoy the game.
I have Windows 8 Pro X64 and an ATI5970.