To do that you need to do this: Click with you right mouse button on the logo to Max Payne 2, and then select propides (Or whatever itīs name is, i canīt spell it, but itīs the last command on the window you just opened).
Make a short, called: "C:\Program Files\Rockstar Games\Max Payne 2\MaxPayne2.exe" -developer"
You can then now use the cheats that are now coming.