The US Government was involved in a training program designed to create "supersoldiers". To achieve this, it began testing performance-enhancing drugs. The project was named Operation Valhalla, and the drug came to be known as Valkyr.
Shortly after the program began however, the drug was deemed unsafe and the program was shut down. However, Aesir head Nicole Horne continued experimentation of the drug and eventually began to market it to the drug-heads of New York for profit. After Nicole was killed by Max Payne, the last remnants of the Valkyr operation faded from significance in the Max Payne storyline.
Max Paynes 1 and 2 are set in the United States. However as Max Payne 3 is in production there are images and sneak peek articles on the websites depicting him being in Sao Paulo, Brazil which is located in South America.