Uh, no, though there is great likeness between Max Payne and this guy, but Max didn't use any Holy Shotguns and didn't pay a visit to hell. No, he's
John Constantine, who can recognise demons amongst people and has a variety of weapons against them, like the Holy Shotgun. He can enter an alternative dimension which is basically inhabited by demons (you could access this area in the game if you stood in water and said an incantation).