When you play the tutorial of Max Payne, walk to the Van which stands across the subway-entrance. When you come near the van, jump on the front-side of it. When you've done that, you have to jump on the box which stands against the wall right next to the van. The only thing you have to do right now is jump on the stairs next to the box, then walk up the stairs to the upper-floor. And shoot add the most left window, it will break, and you can jump into a room, whit some nice ammo. The game will say: "Congratulations, you found the secret room".