Max Payne 2 locks all difficulty levels ("Dead Man Walking" is an alternative game mode") by default, forcing players to complete the game multiple times. Additionally, "detective" is an adaptive difficulty level according to the game's Wikia page and experienced players may want to skip over the setting entirely.
In the original Max Payne, it was possible to unlock all difficulty levels by editing registry (source, under "instantly unlock all gameplay modes"). Max Payne 2 even follows the same folder structure (Computer\HKEY_CURRENT_USER\Software\Remedy Entertainment\Max Payne 2\Game Level
), but I'm unsure what values to set.
Best Answer
As mentioned by @Frank some self research is a nice thing to do. But since it has been unanswered here it is.
EDIT: Instead of renaming the entries you can create a new (DWORD 32-bit) entry that way not destroying any of the original values.