Okay, the original Max Payne has suffered from bad or missing sounds long enough. Even the download from Steam's Max Payne 1 doesn't have Max's voice and has some sounds corrupted.  Here's the instructions on how to fix it including a zip file with the neccesary files to correctly patch your installation.

Click on the downlink below to get the files. Word of warning, they are 529MB so depending on your connection, they'll take a bit to download. Then follow the video to install them.  It take just a few minutes and you'll be pleasantly surprised.

For complete instructions and a walkthrough
watch the video below