Just to be sure, the (space) represents a space (with the space-bar) - you should not write (space)
So, you put the CD in the drive - when the autorun kicks in, cancel that - then go to start/run and.....
.....in the RUN box, it should be:
"d:\Program Files\Max Payne\maxpayne.exe" -developer
.....I think that should work (if D: is your main drive, rather than C:).
I am sure that is how it's supposed to be, but I haven't played the game in 2 years - try putting exactly what is written above.