In the chapter where you get some "help" by a couple of the goonies, use the following tricks. When they shoot their guns, stay behind them. Secondly, let them take care of all the cleaners and masked men (which will lead into the following tip). If there are any remaining, have an automatic gun ready and cap all of them. One of the goonies will be reminded of your name being Max Payne and they will turn on you.