If you want to unlock all difficulty levels in Max Payne, you need to do this;

Fix 1: Edit “Game Level” entries in the registry

Follow these steps below;

• Open Windows registry editor (regedit).
• Navigate to HKEY_CURRENT_USER\Software\Remedy Entertainment\Max Payne
• Open “Game Level” folder.
• In this folder, you’ll see all available Max Payne difficulties.
• Select difficulty that you’d like to unlock and set its value to “1” (“0” means disable, “1” means enable).
• Save and exit.
• Launch Max Payne.

I hope this helps you 🙂