Max Payne/Chapter 1: Roscoe Street Station

Three years after the prologue, Max is working undercover for the DEA, working with Alex and B.B. He gets a call to meet urgently with Alex, and just gets off the subway train.

Platform 5
Enter the door to the left, where you will see a trail of blood leading to a dead transit police officer. As there's a mirder, Max draws his pistol. You can search the room for extra ammunition and 1 bottle of painkillers.

When you exit, you will see two criminals talking about their task to shoot anyone coming off the train. Climb the stairs, and find two enemies around the corner. At the end of the corridor is one additional enemy behind the locked gate to the left. Continue to the right to platform 4.

Platform 4
Walk to the left, and engage the enemy standing to the secondary exit leading to the control room. Head down the stairs, and there are two enemies to the right coming out of the side room. You can find two painkillers here. While this room has a second corridor, it is locked.

Walk down the platform and enter the personnel room. Kill the enemy that's holding a transit police hostage. The officer in the room says that it is a massacre, and brings you to the upper floor to open the control room. He is killed in a cutscene, but the killer moves out of the room. The room after this has the criminals behind cover.

Enter the back control room, and activate subway line 2, and get the four painkillers from the wall.

Platform 2
Exit the control room and walk down the stairs to enter Platform 2. On the far left is a subway train that you need to enter and use to break through a barricade.

The two last criminals are here in a short discussion. Kill them, and follow the tracks until it branches to the left, leading to the next chapter.