EDIT: Sound fixes abound; here's another one I recently used that was very simple: 
http://forums.steampowered.com/forums/showthread.php?t=848215 
 
I recently bought Max Payne via Steam on a Vista PC, and I encountered sound glitches that I managed to fix after looking around for a few minutes. Here's what I did so future users need not figure this out for themselves.

First, I followed the instructions at the 3DRealms forums, http://forums.3drealms.com/vb/showthread.php?t=27985 but I had to make some slight adjustments:

• Whevener the post refers to "C:/Games/Max Payne", instead substitute your "steam/steamapps/common/maxpayne" directory.
• You don't need to install the 1.05 patch.
• The installer for Max FX Tools can be found at http://maxpayne.levels4you.com/downloads.l4y?review=16675&cat=284.
• Follow the MANUAL instructions the 3DRealms poster lists first. His automating batch file at the end of the post did not work for me.

I was having the same problems, I'll check this out. Thanks.

Heard from another poster that there's an easier solution, found here:

Yeah, I just had to do this. Seems like a big enough issue that they should say something when you buy it.