There is something weird about the Max Payne theme in that although technically it's in C minor, it's using B-natural prominently. What is this called, where is it coming from?
It is called C harmonic minor scale. It was conceived to give the "leading tone" characteristic of the seventh/octave degree transition (note that B to C gives us a half-tone), and to recover the tritone on the dominant chord -- in Gm7 (G-Bb-D-F) there is no tritone, while in G7 (G-B-D-F) we have the tritone between B and F.
The tritone is a pivotal sonority when it comes into tonal harmony, as it states clearly the cadential movement one should expect of a tonal progression.
Of course, over the time composers have gained more and more freedom to subvert such rules; nonetheless, when it comes to the strict theoretical question you asked, we should still remember those old rules of thumb.
P.S.: I should add that there is also the melodic minor scale, which in its own namesake adds melodic cohesion, "undropping" the sixth degree as well as the seventh. In C minor, the final tetrachord would be "G-A-B-C", as opposed to "G-Ab-Bb-C" of the natural minor scale and "G-Ab-B-C" of the harmonic one. The melodical effect is related to avoiding the augmented-second leap that results from Ab-B, recovering the neighboring tones progression.
Like many pieces of classical music, this theme features the movable scale degrees 6 and 7 of the minor mode, which can be either major or minor without leaving the key. What makes this theme especially freaky is that, instead of using B-natural in ascending motion toward the tonic (as is typical for melodic minor), this melody repeatedly employs unusual downward leaps, specifically the diminished fourth Eb-B and the augmented second B-Ab. (These intervals sound like thirds but do not function as thirds in the established key, unless we call the B a Cb, implying an even weirder sort of chromaticism.) In fact, the normal stepwise ascent A-B-C does not occur until the big cadence at 1:10.
It's called C melodic minor. The older version of this uses C major notes on the way up, but with a flat 3 to get minor tonality. On the way down, it uses C natural minor notes, as from Eb major.
So C melodic minor contains C, D, Eb, F, G,Ab, A, Bb, B.
However, I recall a discussion elsewhere on this site about whether a key and a scale are the same.So I guess the proper answer is that it's in "C MINOR".
Melodic ascending - C D Eb F G A B
Melodic descending - C Bb Ab G F Eb D
Harmonic - C D Eb F G Ab B
Natural - C D Eb F G Ab Bb (same as melodic desc.)
Dorian - C D Eb F G A Bb
The unedited original answer was rubbish, but why didn't the downvoters point out the errors, or edit it themselves ? Moral - proof read before pressing 'go',