Thanks Rev0 for support
.
So, I used again Inno Setup and I left it centrifuge my Max Payne installed directory.
I've obtained again *.bin files, but this time at the end of the splitting process (which launches setup.exe), I didn't press cancel like first time but "install/uninstall" - does Inno script launches setup.exe at the end of the process?
Now installation looks fine, I'll run more tests.
To modify setup.ini it's only about changing "MyExecutableName=MaxPayne3.exe" for "MyExecutableName=PlayMaxPayne3.exe" ?