The song starts with a deep beat, then a piano enters and, after about one minute, it starts playing with guitar and drums. The theme sets the mood for the game, sounding sad and dark. Even more so in Max Payne 2 as the piano is replaced with a cello and other additional instruments, such as the violin.
It the original game's chapter Angel of Death, Max Payne can interact with a piano and play the first few notes. This can also be done twice in Max Payne 2, in The Million Dollar Question and Love Hurts chapters. This can also be done in four chapters in Max Payne 3; the first, eighth, eleventh, and twelfth, with Max finally playing it without a sour note in the latter chapter.