Ensure the or JPEG Error Fix option is selected during installation.
Open rlmfc.dll with your hex editor and search for the offset (some guides specify 0x256ED or 0x256Eb depending on the specific editor view). Locate the hex sequence 83 E0 0F .
Before we dive into the fixes, it is helpful to understand why this error occurs. The "JPEG Error" is a bit of a misnomer; it is rarely a corrupted image file causing the problem.
Sometimes the JPEG error persists or new errors appear after the initial fix. Applying these standard compatibility settings can help stabilize the game: Max Payne JPEG error/Ryzen 3000 fix - Steam Community
Why? The original Max Payne used a buggy Miles Sound System that, when crashing, would corrupt the memory heap where JPEG textures were being decoded. Disabling hardware acceleration stops the conflict.
This method is highly recommended for the Steam version but works for retail copies as well.