How do you figure you can't win. I was more or less satisfied with the ending. It was about as good as could be hoped for.
You kill Vlad, who is really the guy behind the murder of your family (from what I can figure), Woden dies and he was more or less a scumbag. Yeah, Mona dies but oh well. You don't get taken in for like 20 years in prison (again, this is just my interpretation) so its all more or less good. Plus, the very last scene says "I dreamed of my wife today, she told me it was ok"
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As for the lenght, I said it before and I'll say it again. I just don't see how you guys can finish this in a single day. Are we playing the same game? It took me about a week on easy (or Detective or whatever the starting difficulty is) to beat the game. This includes tons of reloads and stuff, and considering I played about 2 hours a day. So, Unless you are the type to sit down and play a game for 10 hours striaght, I don't see how you could have finished it so quickly. I must disagree with the majority here and say that I got a nice amount of play time out of Max Payne 2, so I'm satisfied.