Extract and run the file named MaxPayne2BonusChapters.exe to install the bonus chapters. Installing the bonus chapters adds two more Dead Man Walking Chapters into Max Payne 2: The Fall of Max Payne.
Run the game and two new Chapters will be available under "New Game/Dead Man Walking" menu selection. Keep in mind that Dead Man Walking gameplay mode is only unlocked after you've completed the game for the first time. The new maps are titled "Upper East Side" and "Mona's Playground."