Have you installed the latest 1.05 patch ?
http://www.3dgamers.com/dl/games/max...patch.exe.html
I don't know for sure, but i think you first have to replace the no-cd exe by the original one before applying the patch.
It's also possible that your graphics card doesn't support Max Payne (check the readme file on the Max Payne cd). Maybe updating your card drivers can help.