In the first Max Payne, in one of Max's later dream sequences, the developers hid a series of panels in which Max seemed to talk about being in a computer game. Remedy hid a similar egg in MP2, again in a dream sequence.

Play through the game until you get to the third dream sequence, the one in which Lt. Bravura is lying on a hospital bed, incongruously in the middle of the NY PD station. When you hear the disembodied voices of the nurses, run over to Max's cubicle. In the real world, the large notepad on the easel details the plot points. In the dream, the notepad contains the message, "Wake up! You are in a computer game!"