For the achievement in Max Payne 3, see So Much For Being Subtle (achievement).
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This Level's loading screen
Three years after the murder of Max's family, Max arrives at Roscoe Street Station to find that it's closed down; after investigating he finds some dead security guards. He then has to shoot his way past the Mafia to find his friend Alex Balder.
He manages to save a guard who then helps him past a locked door, but is immediately killed by a mobster.
Max eventually arrives at an unused part of the subway, which starts the next level: Live from the Crime Scene
Down the stairs, past the first goon with a shotgun, turn right into a locker room. Follow the corridor and to the right is a locked door that says 'Maintenance' on it. The door can be opened by shooting a can canister under one of the lockers. Inside is a Desert Eagle with plenty of ammo.
