It doesn't matter if you have a legal version of Max Payne or not. I've got a legit Max Payne installation and patched to v1.05, but everytime the game starts, it loads the menu properly, but no matter if you click New Game or Tutorial, it just starts loading and quits to the desktop halfway. This wasn't the problem before SP2 and before you tell me its my computer, I've personally seen the same problem on 12 computers running SP2 with exactly the same problem. The problem is that it somehow makes a restricted system call to the 16-bit subsystem and then locks up. To this date, I don't know of a workaround. No point in trying the compatibility mode even. A lot of people are facing the same problem, and while it runs for some, it doesn't for the rest. Apparently, its been fixed for some people when they turn off the sound, but where's the fun in that?