The story consists of three volumes: "The American Dream", "A Cold Day in Hell", and "A Bit Closer to Heaven". The game begins in medias res in December 2001, as New York City finishes experiencing the worst blizzard in the history of the city. The intro sequence shows Max Payne, a renegade DEA agent and former NYPD officer, standing at the top of a skyscraper building as police units arrive. He then experiences a flashback from three years ago.
