create a batch file:
------ START -----------
maxpayne -developer
cls
------ END -------------
copy these 2 lines, paste them into Notepad and save the text as maxpaynedeveloper.bat (or whatever u like) in the directory where max payne is installed.
run that file to run max payne in developer mode
that's the easiest solution to me, at least easier than messing with those .lnk files...